In recent years, the self-assembly of copolymer micelles has become an appealing frontier of supramolecular chemistry as a strategy to construct superstructures with multiple levels of complexity. The assembly of copolymer micelles is a form of higher-level self-assembly occurring at the nanoscale level where the building blocks are preassembled micelles. Compared to one-step hierarchical self-assembly, this assembly strategy is superior for manipulating multilevel architectures because the structures of the building blocks and higher-order hierarchies can be regulated separately in the first and higher-level assembly, respectively. However, despite the substantial advances in the self-assembly of copolymer micelles in recent years, universal laws have not been comprehensively summarized. This review article aims to provide an overview of the current progress and developing prospects of the self-assembly of copolymer micelles. In particular, the significant role of theoretical simulations in revealing the mechanism of copolymer micelle self-assembly is discussed.