Interactions among proteins in living cells can lead to molecular assemblies of different sizes and large-scale coexisting phases formed via phase separation. Both are essential for the spatial organization of cells and for regulating biological function and dysfunction. A key challenge is understanding the interplay between molecular assembly and phase separation. However, a corresponding theoretical framework that relies on thermodynamic principles is lacking. Here, we present a non-equilibrium thermodynamic theory for a multi-component mixture that contains assemblies of different sizes, which can form, dissolve, and phase-separate from the solvent. We show that the size distributions of assemblies differ between the phases and that the dense phase can gelate. Moreover, we unravel the mechanisms involved in growth and compositional changes of the coexisting phases during assembly kinetics. Our theory can explain how molecular assembly is intertwined with phase separation, and our results are consistent with recent experimental observations on protein phase separation.