Due to its amphiphilic property, graphene oxide (GO) can achieve a variety of nanostructures with different morphologies (for example membranes, hydrogel, crumpled particles, hollow spheres, sack-cargo particles, Pickering emulsions, and so on) by self-assembly. The self-assembly is mostly derived from the self-concentration of GO sheets at various interfaces, including liquid-air, liquid-liquid and liquid-solid interfaces. This paper gives a comprehensive review of these assembly phenomena of GO at the three types of interfaces, the derived interfacial self-assembly techniques, and the as-obtained assembled materials and their properties. The interfacial self-assembly of GO, enabled by its fantastic features including the amphiphilicity, the negatively charged nature, abundant oxygen-containing groups and two-dimensional flexibility, is highlighted as an easy and well-controlled strategy for the design and preparation of functionalized carbon materials, and the use of self-assembly for uniform hybridization is addressed for preparing hybrid carbon materials with various functions. A number of new exciting and potential applications are also presented for the assembled GO-based materials. This contribution concludes with some personal perspectives on future challenges before interfacial self-assembly may become a major strategy for the application-targeted design and preparation of functionalized carbon materials.