Nanodrugs represent a drug delivery form that brings hope for optimal drug release due to their inherent properties. Special carrier materials give hydrophobic drugs excellent water solubility, and coupled with their small size and delicate design, the uptake of drugs by specific tissues can be enhanced. However, problems such as the rejection of exogenous carriers and the toxicity of the carriers themselves have prevented the clinical translation of nanodrugs. In recent years, the emergence of carrier-free nanodrugs has led to promising results to solve the above problems. In recent years, supramolecular self-assembled nanodrugs formed by non-covalent bonds have been a hot research topic. This review systematically evaluates currently available information on the dynamics of supramolecular self-assembled nanodrug formation and presents the advances in single-component, two-component, and multicomponent self-assembled nanoparticles in tumor therapy. Then it explores how these carrier-free nanodrugs could be functionally optimized based on the perspective of marketed drugs. Last but not least, it analyzes the marketed drugs with supramolecular self-assembly potential. Importantly, these findings could be instrumental in refining the drug delivery systems of novel drugs.