In aqueous systems, the hydrophobic effect drives the self-assembly of amphiphiles into a broad range of micellar, rod-like, bicontinuous and liquid-crystalline complex fluids. Many of these are relevant to biological matter or technological applications. However, amphiphilic self-assembly is not limited to aqueous systems. Replacement of water with supercritical carbon dioxide, for example, results in complex fluids that combine the properties of gases and liquids. Along this vein, we explore the self-assembly of surfactants in anhydrous sugars. Our study reveals that anhydrous powders of sugars and surfactants suspended in oil spontaneously form molten glasses with nanometre-size domains of sugar and liquid oil without mixing. The low cost, water solubility, low toxicity and stabilizing properties of glassy sugars make them ideal water replacements for many pharmaceutical, food and materials synthesis applications. The optical clarity and solid appearance of these glasses at room temperature belie their inclusion of more than 50% (vol.) oil, which confers liquid-like diffusivity. The unique combination of solid- and liquid-like properties may lead to applications in sensors and optical devices.