Nanoparticles adsorbed onto the surface of a drop can fully encapsulate the liquid, creating a robust and durable soft solid with superhydrophobic characteristics referred to as a liquid marble. Artificially created liquid marbles have been studied for about a decade but are already utilized in some hair and skin care products and have numerous other potential applications. These soft solids are usually formed in small quantity by depositing and rolling a drop of liquid on a layer of hydrophobic particles but can also be made in larger quantities in an industrial mixer. In this work, we demonstrate that microscale liquid marbles can also form through self-assembly during water condensation on a superhydrophobic surface covered with a loose layer of hydrophobic nanoparticles. Using in situ environmental scanning electron microscopy and optical microscopy, we study the dynamics of liquid marble formation and evaporation as well as their interaction with condensing water droplets. We demonstrate that the self-assembly of nanoparticle films into three-dimensional liquid marbles is driven by multiple coalescence events between partially covered droplets and is aided by surface flows causing rapid nanoparticle film redistribution. We also show that droplet and liquid marble coalescence can occur due to liquid-to-liquid contact or squeezing of the two objects into each other as a result of compressive forces from surrounding droplets and marbles. Irrelevant of the mechanism, coalescence of marbles and drops can cause their rapid movement across and rolling off the edge of the surface. We also demonstrate that the liquid marbles randomly moving across the surface can be captured and immobilized by hydrophilic surface patterns.