Polymer-grafted or "hairy" nanoparticles (HNP) represent an important and relatively new class of materials. Traditionally, polymers or oligomers were grafted onto the particle (silica, metal, or semiconductor) surface to improve the dispersion of particles in a polymer matrix. Recently, the scope of research has broadened substantially, as it was shown that such nanoparticles can form anisotropic structures ranging from self-assembled wires to sheets to networks. Furthermore, it has been demonstrated that one could make hybrid polymer-inorganic materials with HNPs alone, without using a separate matrix polymer. Such one-component hybrid materials are not prone to macroscopic phase separation and can, in principle, have a variety of interesting microphase-separated, anisotropic morphologies, similar to surfactants or block copolymers. Here, we develop a new self-consistent field theory describing the behavior of such one-component HNP systems and apply it to predict morphology as a function of the ligand molecular weight and grafting density. As in the case of block copolymers, we observe lamellar, cylindrical, and spherical morphologies and elucidate phase boundaries as a function of the core (nanoparticle) volume fraction and the ratio of the particle radius to the ligand radius of gyration. We also observe the formation of a novel phase, labeled as "sheets", where the lamellar-like ordering of particle-rich and ligand-rich layers is additionally characterized by the hexagonal ordering of the particles within the particle-rich layer. Our theoretical approach can be easily extended to other HNPs, including those with mixed ligands and block copolymer ligands.