Colloidal self-assembly has been investigated as a promising and practical approach for the fabrication of photonic nanostructures, including colloidal crystals, composite and inverse opals, and photonic glasses. Depending on the interactions between the colloidal particles, colloidal structures can be affected dramatically and modulated by applying an additional external field. Furthermore, in contrast to other approaches, self-assembled nanostructures with large areas or designed shapes can be prepared at low cost. As a result, the use of such colloidal systems has been investigated in many practical photonic applications. In this review article, we describe the colloidal self-assembly of periodic and non-periodic photonic nanostructures in brief and then summarize recent achievements in the field of colloidal photonic nanostructures and their applications, which include displays, optical devices, photochemistry and biological sensors.