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Self‐folding broadly refers to the assembly of 3D structures by bending, curving, and folding without the need for manual or mechanized intervention. Self‐folding is scientifically interesting because self‐folded structures, from plant leaves to gut villi to cerebral gyri, abound in nature. From an engineering perspective, self‐folding of sub‐millimeter‐sized structures addresses major hurdles in nano‐ and micro‐manufacturing. This review focuses on self‐folding using surface tension or capillary forces derived from the minimization of liquid interfacial area. Due to favorable downscaling with length, at small scales capillary forces become extremely large relative to forces that scale with volume, such as gravity or inertia, and to forces that scale with area, such as elasticity. The major demonstrated classes of capillary force assisted self‐folding are discussed. These classes include the use of rigid or soft and micro‐ or nano‐patterned precursors that are assembled using a variety of liquids such as water, molten polymers, and liquid metals. The authors outline the underlying physics and highlight important design considerations that maximize rigidity, strength, and yield of the assembled structures. They also discuss applications of capillary self‐folding structures in engineering and medicine. Finally, the authors conclude by summarizing standing challenges and describing future trends.