RNAi (RNA interference), as a post-transcriptional regulatory mechanism, can achieve efficient gene silencing by the degradation of target mRNA. siRNA, a double strand RNA, is widely used in nucleic acid drug development due to its high efficiency and specificity based on RNAi mechanism. Currently, a variety of cationic carriers have been developed for siRNA delivery. However, due to the relatively strong rigid structure and relatively low anionic charge density, it is difficult for siRNA to form a stable and compact complex with cationic carriers. So the application of siRNA still faces many challenges, such as inefficient cellular uptake, a lack of specificity in cells and tissue, poor stability in delivery process, potential cytotoxicity and high initial immune response, etc. In recent years, nucleic acid self-assembled nanoparticles have attracted wide attention due to their flexible structures and high negative charge density, which will be very useful to achieve efficient delivery and gene silencing of siRNA drugs. This review focuses on recent progresses in the development of siRNA self-assembled nanostructures and their potential therapeutic applications.