Biological self-organisation can be regarded as a process of spontaneous pattern formation; namely, the emergence of structures that distinguish themselves from their environment. This process can occur at nested spatial scales: from the microscopic (e.g., the emergence of cells) to the macroscopic (e.g. the emergence of organisms). In this paper, we pursue the idea that Markov blankets – that separate the internal states of a structure from external states – can self-assemble at successively higher levels of organisation. Using simulations, based on the principle of variational free energy minimisation, we show that hierarchical self-organisation emerges when the microscopic elements of an ensemble have prior (e.g., genetic) beliefs that they participate in a macroscopic Markov blanket: i.e., they can only influence – or be influenced by – a subset of other elements. Furthermore, the emergent structures look very much like those found in nature (e.g., cells or organelles), when influences are mediated by short range signalling. These simulations are offered as a proof of concept that hierarchical self-organisation of Markov blankets (into Markov blankets) can explain the self-evidencing, autopoietic behaviour of biological systems.