The structure of polymeric amphiphiles with both hydrophilic and hydrophobic groups forming self-assembled nanoparticles have attracted increasing attention in studies of delivery systems of therapeutic agents. An amphiphilic carrier for self-assembly in an aqueous solution is preferable because of its structure with a hydrophobic core and hydrophilic outer shell, which can be applied to many biotechnological and pharmaceutical fields with numerous types of drugs. An amphiphilic carrier for self-assembly also represents the most appealing delivery system owing to its exceptional advantages in selectively delivering drugs to tumor cells and thus, reduction of side effects. This paper reviews two types of self-assembled nanoparticles/micelles of conjugated polymeric amphiphiles: (1) self-assembled micelles/nanoparticles of amphiphilic conjugates followed by drug loading and (2) self-assembled micelles/nanoparticles of polymer-drug conjugates where a conjugation reaction occurs between the polymer and drug. The development of the research has been addressed in this review with up-to-date references. In conclusion, the challenges and remaining difficulties for the future development are discussed.