Self-folding broadly refers to self-assembly processes wherein thin films or interconnected planar templates curve, roll-up or fold into three dimensional (3D) structures such as cylindrical tubes, spirals, corrugated sheets or polyhedra. The process has been demonstrated with metallic, semiconducting and polymeric films and has been used to curve tubes with diameters as small as 2 nm and fold polyhedra as small as 100 nm, with a surface patterning resolution of 15 nm. Self-folding methods are important for drug delivery applications since they provide a means to realize 3D, biocompatible, all-polymeric containers with well-tailored composition, size, shape, wall thickness, porosity, surface patterns and chemistry. Self-folding is also a highly parallel process, and it is possible to encapsulate or self-load therapeutic cargo during assembly. A variety of therapeutic cargos such as small molecules, peptides, proteins, bacteria, fungi and mammalian cells have been encapsulated in self-folded polymeric containers. In this review, we focus on self-folding of all-polymeric containers. We discuss the mechanistic aspects of self-folding of polymeric containers driven by differential stresses or surface tension forces, the applications of self-folding polymers in drug delivery and we outline future challenges.