The transient and elusive intermediate states are the keys in self‐assembly processes, which are common phenomena shaping the structure, properties, and functionalities of assembled materials across many scientific domains. However, the understanding about the intermediate states of self‐assembly process is always challenging and limited. In this review, we focus on these states by combining theoretical and experimental approaches. By examining a wide variety of self‐assembly systems that span from biological to metal–organic nanostructures, this review uncovers the wealth of intermediate states of self‐assembled materials. In addition to combining the current knowledge, it will identify challenges and provide a new insight into the opportunities for future research.