Collagen is the oldest and most abundant extracellular matrix protein and has many applications in biomedical, food, cosmetic, and other industries. Previous reviews have already introduced collagen’s sources, structures, and biosynthesis. The biological and mechanical properties of collagen-based composite materials, their modification and application forms, and their interactions with host tissues are pinpointed. It is worth noting that self-assembly behavior is the main characteristic of collagen molecules. However, there is currently relatively little review on collagen-based composite materials based on self-assembly. Herein, we briefly reviewed the biosynthesis, extraction, structure, and properties of collagen, systematically presented an overview of the various factors and corresponding characterization techniques that affect the collagen self-assembly process, and summarize and discuss the preparation methods and application progress of collagen-based composite materials in different fields. By combining the self-assembly behavior of collagen with preparation methods of collagen-based composite materials, collagen-based composite materials with various functional reactions can be selectively prepared, and these experiences and outcomes can provide inspiration and practical techniques for the future development directions and challenges of collagen-based composite biomaterials in related applications fields.