Self-assembled membranes are of vital importance in biological systems e.g. cellular and organelle membranes, however, more focus is being put on synthetic self-assembled membranes not only as an alternative for lipid membranes but also as an alternative for lithographic methods. More investigations move towards self-assembly processes because of the low-cost preparations, structural self-regulation and the ease of creating composite materials and tunable properties. The fabrication of new smart membrane materials via self-assembly is of interest for delivery vessels, size selective separation and purification, controlled-release materials, sensors and catalysts, scaffolds for tissue engineering, low dielectric constant materials for microelectronic devices, antireflective coatings and proton exchange membranes for polymer electrolyte membrane fuel cells. Polymers and nanoparticles offer the most straightforward approaches to create membrane structures. However, alternative approaches using small molecules or composite materials offer novel ultra-thin membranes or multi-functional membranes, respectively. Especially, the composite material membranes are regarded as highly promising since they offer the possibility to combine properties of different systems. The advantages of polymers which provide elastic and flexible yet stable matrices can be combined with nanoparticles being either inorganic, organic or even protein-based which offers pore-size control, catalytic activity or permeation regulation. It is therefore believed that at the interface of different disciplines with each offering different materials or approaches, the most novel and interesting membrane structures are going to be produced. The combinations and approaches presented in this review offer non-conventional self-assembled membrane materials which exhibit a high potential to advance membrane science and find more practical applications.