Colloidal particles emerge as promising building blocks for the construction of novel materials and devices owing to their tailorable morphologies, abundant species, and intriguing properties. In comparison to other assembly approaches, optical colloidal assembly relies on photophysical or photochemical interactions and allows the arrangement of particles into desired geometries on a substrate with high spatial and temporal resolution. Typically, optical colloidal assembly involves two major processes, i.e., optical manipulation for colloidal arrangement and light-triggered interparticle bonding for colloidal immobilization. In this review, we first categorize the optical manipulation techniques based on different working principles and discuss their technical features and assembly capabilities. We then provide a comprehensive overview of different colloidal bonding schemes, including van der Waals attraction, dipole-dipole interaction, biochemical linking, photopolymerization, and surface ligand bonding. Finally, we summarize the cutting-edge applications of assembled colloidal structures and end with our vision for the existing challenges and future development in this field.