We report on the observation of self-alignment of nematic liquid crystals into colloidal photonic crystals, over distances much larger than the typical size of the voids between the spheres. We observe that the infiltrated structure possesses a unique optical axis that is determined by an intrinsic structural anisotropy of photonic crystal opals. We develop a simple model to describe this self-alignment based on the connectivity of the pores. The resulting structure constitutes a polarization dependent photonic crystal that can be controlled electrically.