Nanoparticle　self-assembly　enables　the　generation　of　complex　ordered　nanostructures　with　enhanced　properties　or　new　functionalities.　However,　the　ordering　is　often　limited　to　the　micrometer　scale　with　chemical　strategies　due　to　the　relative　weak　supramolecular　interactions　that　govern　the　self-assembly　process.　Here　a　physical　strategy　via　temperature-gradient-assisted　self　assembly　is　reported　to　create　three-dimensional　(3D)　macroscopic　ordered　nanocomposites　with　different　gradient　variations　in　grain　size,　constituent　content,　and　crystal　orientation.　The　resulting　alpha-Fe/Pr2Fe14B　ordered　nanostructure　with　reverse　gradients　in　both　the　grain　size　and　alpha-Fe　content　exhibits　a　record-high　energy　density　of　about　25　MGOe　for　isotropic　alpha-Fe/　Pr2Fe14B　systems,　approximately　130%　higher　than　that　of　its　disordered　counterpart.　Both　experiments　and　micromagnetic　simulations　demonstrate　that　creating　ordered　nanostructures　is　an　alternative　approach　to　develop　high-performance　permanent　magnet　materials.　Our　findings　make　a　significant　step　toward　creating　3D　macroscopic　ordered　nanostructures　and　will　stimulate　the　development　of　ordered　nanomaterials.