The preparation of anisotropic colloidal particles by a simple yet versatile temperature-controlled swelling process is described. The resulting polymeric particles feature a surface dimple, the size and shape of which were determined by the amount of oil captured in particles and the interfacial tension between the three phases: polystyrene (PS), decane, and the suspending medium. Following the removal of free or physically adsorbed surfactant from the swollen particles, hydrophobic dimples were produced upon evaporation of the oil phase. We demonstrate the spontaneous assembly of these 'dimpled particles' into dumbbell shapes or trimers through a site-selective hydrophobic interaction.