We confine a small number of micron-sized colloidal particles within micro-wells, and we use this finite system to study the process of self-assembly. The reversible aggregation of colloidal particles is controlled by a short-range depletion attraction, which is induced by poly(N-isopropylacrylamide) nano particles. We use digital holographic microscopy to monitor the structural and kinetic properties of self-assembled colloidal clusters, and we use micro-wells to collect ensemble statistics. We compare our experimental results with theory and simulations, which probe how energetics and kinetics affect the packing structures.