Self-assembled materials(1-4) must actively consume energy and remain out of equilibrium to support structural complexity and functional diversity(1,5). Here we show that a magnetic colloidal suspension confined at the interface between two immiscible liquids and energized by an alternating magnetic field dynamically self-assembles into localized asters and arrays of asters, which exhibit locomotion and shape change. By controlling a small external magnetic field applied parallel to the interface, we show that asters can capture, transport, and position target microparticles. The ability to manipulate colloidal structures is crucial for the further development of self-assembled microrobots.