Self-assembly of nanoparticles (NPs) has evolved into a powerful tool for the synthesis of superstructures with tailored properties. The quality, diversity, and complexity of synthesized structures are continuously improving and fascinating new collective properties are demonstrated. At the same time, the rapid development of electron microscopy and synchrotron sources for X-rays has enabled new exciting experimental approaches to study structure and structure formation in the context of NP self-assembly. In this review, some recent studies and what can be learned from them are highlighted and discussed. It is started with a general introduction covering important concepts, experimental approaches, commonly obtained structures, the ideas of artificial atoms, and emerging properties are discussed. Recent experimental in situ and ex situ approaches with state-of-the-art electron microscopy and X-ray diffraction and scattering that helped to obtain a detailed picture of NP self-assembly processes and resulting structures are then presented.