A small library of amphiphilic prodrugs has been synthesized by conjugation of gemcitabine (Gem) (a hydrophilic nucleoside analogue) to a series of lipid moieties and investigated for their capacity to spontaneously self-assemble into nanosized objects by simple nanoprecipitation. Four of these conjugates formed stable nanoparticles (NPs), while with the others, immediate aggregation occurred, whatever the tested experimental conditions. Whether such capacity could have been predicted based on the prodrug physicochemical features was a matter of question. Among various parameters, the hydrophilic–lipophilic balance (HLB) value seemed to hold a predictive character. Indeed, we identified a threshold value which well correlated with the tendency (or not) of the synthesized prodrugs to form stable nanoparticles. Such a hypothesis was further confirmed by broadening the analysis to Gem and other nucleoside prodrugs already described in the literature. We also observed that, in the case of Gem prodrugs, the lipid moiety affected not only the colloidal properties but also the in vitro anticancer efficacy of the resulting nanoparticles. Overall, this study provides a useful demonstration of the predictive potential of the HLB value for lipid prodrug NP formulation and highlights the need of their opportune in vitro screening, as optimal drug loading does not always translate in an efficient biological activity.