Under the guidance of the carbon peaking and carbon neutrality goals, the urgency for green ecological construction and the depletion of nonrenewable resources highlight the importance of the research and development of sustainable new materials. Cellulose nanofiber (CNF) is the most abundant natural nanoscale building block widely existing on Earth. CNF has unique intrinsic physical properties, such as low density, low coefficient of thermal expansion, high strength, and high modulus, which is an ideal candidate with outstanding potential for constructing sustainable materials. In recent years, CNF‐based structural material has emerged as a sustainable lightweight material with properties very different from traditional structural materials. Here, to comprehensively introduce the assembly of structural materials based on CNF, it starts with an overview of different forms of CNF‐based materials, including fibers, films, hydrogels, aerogels, and structural materials. Next, the challenges that need to be overcome in preparing CNF‐based structural materials are discussed, their assembly methods are introduced, and an in‐depth analysis of the advantages of the CNF‐based hydrogel assembly strategy to fabricate structural materials is conducted. Finally, the unique properties of emerging CNF‐based structural materials are summarized and concluded with an outlook on their design and functionalization, potentially paving the way toward new opportunities.