Provided herein is a nanoscale material assembly made up of a plurality of nanoscale structures with a crosslinked polymer thermally deposited on the structures. Also disclosed are methods for preparing the nanoscale material assembly with a deposited crosslinked polymer. Further disclosed are various conditions and materials that when used in the preparation of the nanoscale material assemblies further enhance their mechanical properties. In some embodiments, the nanoscale material assemblies can be either nanoscale yarn assemblies or nanoscale sheet assemblies.