Controllable self-assembly of nanoscale building blocks into larger specific structures provides an effective route for the fabrication of new materials with unique optical, electronic, and magnetic properties. The ability of nanoparticles (NPs) to self-assemble like molecules is opening new research frontiers in nanoscience and nanotechnology. We present a new class of amphiphilic "colloidal molecules" (ACMs) composed of inorganic NPs tethered with amphiphilic linear block copolymers (BCPs). Driven by the conformational changes of tethered BCP chains, such ACMs can self-assemble into well-defined vesicular and tubular nanostructures comprising a monolayer shell of hexagonally packed NPs in selective solvents. The morphologies and geometries of these assemblies can be controlled by the size of NPs and molecular weight of BCPs. Our approach also allows us to control the interparticle distance, thus fine-tuning the plasmonic properties of the assemblies of metal NPs. This strategy provides a general means to design new building blocks for assembling novel functional materials and devices.