The spontaneous self-assembly process of superparamagnetic nanoparticles in a fast-drying colloidal drop is observed in real time. The grazing-incidence small-angle X-ray scattering (GISAXS) technique is employed for an in situ tracking of the reciprocal space, with a 3 ms delay time between subsequent frames delivered by a new generation of X-ray cameras. A focused synchrotron beam and sophisticated sample oscillations make it possible to relate the dynamic reciprocal to direct space features and to localize the self-assembly. In particular, no nanoparticle ordering is found inside the evaporating drop and near-surface region down to a drop thickness of 90 microm. Scanning through the shrinking drop-contact line indicates the start of self-assembly near the drop three-phase interface, in accord with theoretical predictions. The results obtained have direct implications for establishing the self-assembly process as a routine technological step in the preparation of new nanostructures.