Our recent advances in modeling of colloidal superstructures in spatially confined nematic liquid crystals are briefly reviewed. The approach is phenomenological and is based on Landau- de Gennes type free energy, where the effects of confinement and external fields are also taken into account. The inter-particle couplings that result in a nematic solvent are effectively many-body interactions. The complexity of the couplings leads to numerous nematic and colloidal structures not present in simple liquids where van der Waals and electrostatic interactions are dominant. A local "heating'' to the isotropic phase is performed, followed by a fast quench to the nematic phase. In the relaxation process that conserves the topological charge, a number of metastable colloidal superstructures are formed. Here we focus our attention on the entangled structures where colloidal particles are coupled by an entangled network of delocalized disclination lines (nematic braid): colloidal dimers, chains, and multiscale structures. The string-like coupling provided by such disclination lines is much more robust compared to an interaction based on an array of localized disclinations. The controlled formation of entangled colloidal structures opens new ways to the assembly of colloidal photonic crystals and hierarchical structures that could lead to metamaterials.