Anisotropic colloidal particles have attracted great attention over the past few decades because of their significant properties that differ from isotropic particles. Molecular self‐assembly provides the possibility to design and construct anisotropic colloidal particles from the single‐molecule level, and molecular assemblies can both inherit the properties of molecules in single states and integrate the functions of molecules in collective states, which has attracted great interest to researchers. Even in recent years, the self‐assembly strategy of anisotropic colloidal particles has been greatly developed. This review article briefly summarizes the research progress of molecules from small molecules, block copolymers and homopolymers to anisotropic particles, including their self‐assembly strategies and applications. Finally, we discuss the remaining challenges of this topic and we expect that by manipulating the design of diverse molecules/polymers, anisotropic colloidal particles can evolve into a new era.