Photosynthetic organisms harness solar radiation to produce energy-rich compounds from water and atmospheric CO2 via exquisite supramolecular assemblies, which offers a design principle for highly efficient artificial photocatalytic systems. As an emerging research field, significant effort has been devoted to self-assembled supramolecular materials for photocatalytic H2 production and CO2 reduction. In this review, we introduce the basic concepts of supramolecular photocatalytic materials. After that, we will discuss recent advances in the preparation of supramolecular photocatalytic materials from zero-dimension to three-dimension which include molecular assemblies, micelles, hybrid nanoparticles, nanofibers, nanosheets, microcrystals, lipid bilayers, supramolecular organic frameworks, supramolecular metal-organic frameworks, gels, and host-guest metal-organic frameworks, etc. Furthermore, we show the recent progress in the photocatalytic properties of supramolecular photocatalytic materials, i.e., photocatalytic proton reduction, water splitting, CO2 to HCOOH, CO2 to CO, CO2 to CH4 conversions, etc. Finally, we provide our perspective for the future research, with a focus for the development of new structures and highly efficient photocatalysis.