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Since the pioneering work of Ned Seeman in the early 1980s, the use of the DNA molecule as a construction material experienced a rapid growth and led to the establishment of a new field of science, nowadays called structural DNA nanotechnology. Here, the self-recognition properties of DNA are employed to build micrometer-large molecular objects with nanometer-sized features, thus bridging the nano- to the microscopic world in a programmable fashion. Distinct design strategies and experimental procedures have been developed over the years, enabling the realization of extremely sophisticated structures with a level of control that approaches that of natural macromolecular assemblies. Nevertheless, our understanding of the building process, i.e., what defines the route that goes from the initial mixture of DNA strands to the final intertwined superstructure, is, in some cases, still limited. In this review, we describe the main structural and energetic features of DNA nanoconstructs, from the simple Holliday junction to more complicated DNA architectures, and present the theoretical frameworks that have been formulated until now to explain their self-assembly. Deeper insights into the underlying principles of DNA self-assembly may certainly help us to overcome current experimental challenges and foster the development of original strategies inspired to dissipative and evolutive assembly processes occurring in nature.