Vaccination is a proven way to protect individuals against many infectious diseases, as currently highlighted in the global COVID-19 pandemic. Peptides- or small molecule antigen-based vaccination offer advantages over the classical vaccine approaches. However, peptides or small molecules by themselves are generally not sufficiently immunogenic, and thus require an adjuvant to boost an immune response. Several conjugated systems have been developed in recent years to overcome this obstacle. This review summarises different moieties which, when conjugated to peptide antigens, facilitate a specific immune response. Different classes of self-adjuvant moieties are reviewed, including self-assembly peptides, lipids, glycolipids, and polymers.