Drug self-delivery systems exactly present nanoscale characteristics without the support of any external carrier materials, have been rapidly developed because of low-cost preparation, excellent and fixed drug loading capacity, no need for carrier synthesis and no carrier-induced toxicity and immunogenicity. In general, amphipathy is indispensable for such design, for the amphiphilic drug conjugates could spontaneously self-assemble into nano-sized architectures above a critical concentration. Nevertheless, some elaborate designs on bonds and specified conjugates with no amphipathy anymore appeared in recent years, which create a novel and broad platform for the fabrication of hydrophobic drug self-delivery systems (HDSDSs), involving lipid-drug conjugates, drug-drug conjugates, and fluorescent dye -drug conjugates. In this review, we present the major types of HDSDSs and expound their self-assembly mechanism and fabrication strategies. And we emphatically discuss some representative achievements of these different types of HDSDSs for monotherapy, combinational therapy and theranostics in the aspect of cancer therapy. In addition, we discuss the future prospects of such kind of nanomedicine, which hold a span-new direction for cancer therapy on account of the excellent drug behavior in vitro and in vivo and the great potential to standardize the commercial production.