The main objective of this study was to demonstrate the proof-of-principle for the hypothesis that conjugated linoleic acid-paclitaxel conjugate (CLA-PTX), a novel fatty acid modified anti-cancer drug conjugate, could self-assemble forming nanoparticles. The results indicated that a novel self-assembling nanomedicine, CLA-PTX@PEG NPs (about 105 nm), with Cremophor EL (CrEL)-free and organic solvent-free characteristics, was prepared by a simple precipitation method. Being the ratio of CLA-PTX:DSPE-PEG was only 1:0.1 (w/w), the higher drug loading CLA-PTX@PEG NPs (about 90%) possessed carrier-free characteristic. The stability results indicated that CLA-PTX@PEG NPs could be stored for at least 9 months. The safety of CLA-PTX@PEG NPs was demonstrated by the MTD results. The anti-tumor activity and cellular uptake were also confirmed in the in vitro experiments. The lower crystallinity, polarity and solubility of CLA-PTX compared with that of paclitaxel (PTX) might be the possible reason for CLA-PTX self-assembling forming nanoparticles, indicating a relationship between PTX modification and nanoparticles self-assembly. Overall, the data presented here confirm that this drug self-delivery strategy based on self-assembly of a CLA-PTX conjugate may offer a new way to prepare nanomedicine products for cancer therapy involving the relationship between anticancer drug modification and self-assembly into nanoparticles.