Self-assembly of colloidal nanocrystals into complex superstructures offers notable opportunities to create functional devices and artificial materials with unusual properties. Anisotropic nanoparticles with nonspherical shapes, such as rods, plates, polyhedra, and multipods, enable the formation of a diverse range of ordered superlattices. However, the structural complexity and tunability of nanocrystal superlattices are restricted by the limited geometries of the anisotropic nanoparticles available for supercrystal self-assembly. We show that uniform gold nanoarrows (GNAs) consisting of two pyramidal heads connected by a four-wing shaft are readily synthesized through controlled overgrowth of gold nanorods. The distinct concave geometry endows the GNAs with unique packing and interlocking ability and allows for the shape-directed assembly of sophisticated two-dimensional (2D) and 3D supercrystals with unprecedented architectures. Net-like 2D supercrystals are assembled through the face-to-face contact of the GNAs lying on the pyramidal edges, whereas zipper-like and weave-like 2D supercrystals are constructed by the interlocked GNAs lying on the pyramidal {111} facets. Furthermore, multilayer packing of net-like and weave-like 2D assemblies of GNAs leads to non-close-packed 3D supercrystals with varied packing efficiencies and pore structures. Electromagnetic simulation of the diverse nanoarrow supercrystals exhibits exotic patterns of nanoscale electromagnetic field confinement. This study may open new avenues toward tunable self-assembly of nanoparticle superstructures with increased complexity and unusual functionality and may advance the design of novel plasmonic metamaterials for nanophotonics and reconfigurable architectured materials.