The aggregation, arrangement and bonding together of proteins and centromeric DNA molecules to form a centromeric protein-DNA complex. Includes the formation of the chromatin structures which form a platform for the kinetochore, and assembly of the kinetochore onto this specialized chromatin. In fission yeast and higher eukaryotes this process also includes the formation of heterochromatin at the outer repeat (pericentric) regions of the centromere.