Amphiphilic drugs are molecular drugs or drug conjugates possessing both hydrophilic and lipophilic properties. Representative amphiphilic drugs are composed of a pharmaceutical payload, a linker, and an appropriate amphiphilic modification. The physicochemical properties of amphiphilic drugs can be tailored by structure‐based engineering, which ultimately determine the drug molecules’ self‐assemble ability, bioavailability, protein binding, membrane anchoring, organ and intracellular distributions, side effects, and biological efficacy. Unlike the traditional carrier‐assistant drug delivery system, many of the amphiphilic drugs are carrier‐free and can self‐deliver to target sites/cells and access intracellular organelles without an external delivery carrier. This is achieved by molecular designs that control the delivery pathways of amphiphilic drugs at organ/tissue, cellular, and intracellular levels. In this review the recent advances in self‐delivery amphiphilic drugs and vaccines are highlighted, with emphasis on the underlying design principles and emerging applications.