This study describes the influence of polyelectrolyte building block nature on the formation of supramolecular polyelectrolyte-dye nanoparticles self-assembled through electrostatic interactions of the oppositely charged building units and π-π interactions in-between dye molecules ("electrostatic self-assembly"). The anionic azo dye Acid Red 26 (Ar26) is combined with cationic polyamidoamine dendrimers of generations G0, G2, G4, G6, and G8 and linear polycations polylysine (PolyLys) and polyallylamine hydrochloride (PAH). Light scattering reveals defined supramolecular particles with hydrodynamic radii R(H) = 15 nm to R(H) = 50 nm for slight excess of G2-G8 dendrimers. G0 does not yield stable assemblies. Linear polyelectrolytes form assemblies with hydrodynamic radii from R(H) = 20 nm to R(H) = 200 nm. Thermodynamic measurements by isothermal titration calorimetry (ITC) show that all macroions bind dye molecules up to about charge stoichiometry, and assembly formation is predominantly enthalpically driven. Differences in dye-dye interactions are related to structural features by analyzing endothermic heats of aggregate disruption through excess macroion addition. A simple model connects thermodynamic parameters with the internal assembly structure.