The heat‐induced self‐assembly of silk fibroin (SF) is studied by combing fluorescence assessment, infrared nanospectroscopy, wide‐angle X‐ray scattering, and Derjaguin−Muller−Toporov coupled with atomic force microscopy. Several fundamental issues regarding the formation, structure, and mechanical performance of silk nanofibrils (SNFs) under heat‐induced self‐assembly are discussed. Accordingly, SF in aqueous solution is rod‐like in shape and not micellar. The formation of SNFs occurs through nucleation‐dependent aggregation, but the assembly period is variable and irregular. SF shows inherent fractal growth, and this trend is critical for the short‐term assembly. The long‐term assembly of SF, however, mainly involves an elongation growth process. SNFs produced by different methods, such as ethanol treatment and heat incubation, have similar secondary structure and mechanical properties. These investigations improve the in‐depth understanding of fundamental issues related to self‐assembly of SNFs, and thus provide inspiration and guidance in designing of silk nanomaterials.