Self-assembling prodrugs represents a robust and effective nanotherapeutic approach for delivering poorly soluble anticancer drugs. With numerous intrinsic advantages, self-assembling prodrugs possess the maximum drug loading capacity, controlled drug release kinetics, prolonged blood circulation, and preferential tumor accumulation based on the enhanced permeability and retention (EPR) effect. These prodrug conjugates allow for efficient self-assembly into nanodrugs with the potential of encapsulating other therapeutic agents that have different molecular targets, enabling simultaneous temporal-spatial release of drugs for synergistic antitumor efficacy with reduced systemic side effects. The aim of this review is to summarize the recent progress of self-assembling prodrug cancer nanotherapeutics that are made through conjugating therapeutically active agents to Polyethylene glycol, Vitamin E, or drugs with different physicochemical properties via rational design, for synergistic tumor targeted drug delivery.