Peptidic supramolecules formed via self- and co-assembly are intensively studied and exploited from materials chemistry to biomedicine. Recently we have demonstrated that cationic, amphiphilic antimicrobial peptides (AMPs) are able to form co-assemblies with various anionic, aromatic small molecule (SM) binding agents, which results in modulating their activity. Herein we investigated interactions of four selected AMPs (CM15, Dhvar4, LL-37, and FK-16) with four selected SMs (suramin, tartrazine, biliverdin, and bilirubin ditaurate) exploiting the sensitivity of microscale thermophoresis (MST). Interestingly, negative thermophoresis was frequently observed, and maximal MST responses were typically found at moderate SM concentrations. Besides substantial similarities, various scenarios of thermophoretic behaviors were revealed, contributing to understanding the factors driving their interaction, including variations in charge and hydration effects, oligomeric state of the individual components, and the dynamic nature of the association process, rationalized in turn in different affinities. Results demonstrate that the MST method could particularly be suitable for identifying and studying peptidic assemblies and expanded to interaction systems of highly charged compounds where binding is coupled to higher association.