Colloidal crystals are materials that exhibit an ordered structure formed by dispersed micron or submicron colloidal particles. The self-assembly technology is a commonly used method to manufacture colloidal crystals. The basic concepts of colloidal crystals and the related self-assembly processes are outlined in this review. Furthermore, the applications of self-assembled colloidal crystals in case of micro-nano optics are presented in detail. Subsequently, other applications of self-assembled colloidal crystals, such as color printing, holograms, anti-reflective coatings, and optical devices, are presented and the roles of colloidal crystals in those applications are summarized. The unique periodic structure of colloidal crystals ensures its broad application prospects. Therefore, improving the quality of colloidal crystals using various self-assembly techniques is of considerable importance.