The rapid development of self‐assembly technology during the past few decades has effectively addressed plenty of the issues associated with carrier‐based drug delivery systems, such as low loading efficiency, complex fabrication processes, and inherent toxicity of carriers. The integration of nanoscale delivery systems with self‐assembly techniques has enabled efficient and targeted self‐administration of drugs, enhanced bioavailability, prolonged circulation time, and controllable drug release. Concurrently, the limitations of single‐mode cancer treatment, including low bioavailability, poor therapeutic outcomes, and significant side effects, have highlighted the urgent need for multimodal combined antitumor therapies. Set against the backdrop of multimodal cancer therapy, this review summarizes the research progress and applications of a large number of self‐assembled drug delivery platforms, including natural small molecule self‐assembled, carrier‐free self‐assembled, amphiphilic polymer‐based self‐assembled, peptide‐based self‐assembled, and metal‐based self‐assembled nano drug delivery systems. This review particularly analyzes the latest advances in the application of self‐assembled nano drug delivery platforms in combined antitumor therapies mediated by chemotherapy, phototherapy, radiotherapy, sonodynamic therapy, and immunotherapy, providing innovative research insights for further optimization and expansion of self‐assembled nano drug delivery systems in the clinical translation and development of antitumor combined therapy.