Self-assembly plays a critical role in nanoparticle-based applications. However, it remains challenging to monitor the self-assembly of multi-component nanomaterials at a single-particle level, in real-time, with high throughput, and in a model-independent manner. Here, multi-color fluorescence microscopy is applied to track the assembly of both liposomes and mRNA simultaneously in clinical mRNA-based cancer immunotherapy. Imaging reveals that the assembly occurs in discrete steps: initially, RNA adsorbs onto the liposomes; then, the RNA-coated liposomes cluster into heterogeneous structures ranging from sub-micrometer to tens of micrometers. The clustering process is consistent with a Smoluchowski model with a Brownian diffusion kernel. The transition between the two steps of assembly is determined by the orientation of RNA-mediated interactions. Given the facile application of this approach and the ubiquity of the components studied, the imaging and analysis in this work are readily applied to monitor multi-component assembly of diverse nanomaterials.