We explore the nanoscale colloidal self-assembly and self-alignment in liquid crystals. We use model particles with controlled shapes and sizes, including quantum dots and rods and metal nanoparticles in the form of spheres, rods, and polygonal platelets. To study these composites on the scales ranging from nanometers to millimeters and to motivate their use in metamaterial fabrication, we utilize optical microscopies, freeze-fracture transmission electron microscopy, and cryogenic transmission electron microscopy. We discuss the long-range alignment and assembly of anisotropic nanoparticles imposed by the orientational elasticity of liquid crystals, showing that these composites provide a powerful platform for self-assembly of metamaterials.