With the help of a unique combination of density functional theory and computer simulations, we discover two possible scenarios, depending on concentration, for the hierarchical self-assembly of magnetic nanoparticles on cooling. We show that typically considered low temperature clusters, i.e. defect-free chains and rings, merge into more complex branched structures through only three types of defects: four-way X junctions, three-way Y junctions and two-way Z junctions. Our accurate calculations reveal the predominance of weakly magnetically responsive rings cross-linked by X defects at the lowest temperatures. We thus provide a strategy to fine-tune magnetic and thermodynamic responses of magnetic nanocolloids to be used in medical and microfluidics applications.