Self-assembly of colloidal nanoparticles (NPs) into superstructures offers a flexible and promising pathway to manipulate the nanometer-sized particles and thus make full use of their unique properties. This bottom-up strategy builds a bridge between the NP regime and a new class of transformative materials across multiple length scales for technological applications. In this field, anisotropic NPs with size- and shape-dependent physical properties as self-assembly building blocks have long fascinated scientists. Self-assembly of anisotropic NPs not only opens up exciting opportunities to engineer a variety of intriguing and complex superlattice architectures, but also provides access to discover emergent collective properties that stem from their ordered arrangement. Thus, this has stimulated enormous research interests in both fundamental science and technological applications. This present review comprehensively summarizes the latest advances in this area, and highlights their rich packing behaviors from the viewpoint of NP shape. We provide the basics of the experimental techniques to produce NP superstructures and structural characterization tools, and detail the delicate assembled structures. Then the current understanding of the assembly dynamics is discussed with the assistance of in situ studies, followed by emergent collective properties from these NP assemblies. Finally, we end this article with the remaining challenges and outlook, hoping to encourage further research in this field.