Shape-anisotropic nanocrystals and patchy particles have been explored to construct complex superstructures, but most studies have focused on convex shapes. We report that nonconvex, dumbbell-shaped nanocrystals (nanodumbbells) exhibit globally interlocking self-assembly behaviors governed by curvature-guided depletion interactions. By tailoring the local curvature of nanodumbbells, we can precisely and flexibly adjust particle bonding directionality, a level of control rarely achievable with conventional convex building blocks. These nanodumbbells can undergo long-range ordered assembly into various intricate two-dimensional superlattices, including the chiral Kagome lattice. Theoretical calculations reveal that the Kagome lattice is a thermodynamically stable phase, with depletion interactions playing a crucial role in stabilizing these non–close-packed structures. The emergence of Kagome lattices and other unusual structures highlights the vast potential of nonconvex nanocrystals for creating sophisticated architectures.