The resemblance of lipid membrane models to physiological membranes determines how well molecular dynamics (MD) simulations imitate the dynamic behavior of cell membranes and membrane proteins. Physiological lipid membranes are composed of multiple types of phospholipids, and the leaflet compositions are generally asymmetric. Here we describe an approach for self-assembly of a Coarse-Grained (CG) membrane model with physiological composition and leaflet asymmetry using the MARTINI force field. An initial set-up of two boxes with different types of lipids according to the leaflet asymmetry of mammalian cell membranes stacked with 0.5 nm overlap, reliably resulted in the self-assembly of bilayer membranes with leaflet asymmetry resembling that of physiological mammalian cell membranes. Self-assembly in the presence of a fragment of the plasma membrane protein syntaxin 1A led to spontaneous specific positioning of phosphatidylionositol(4,5)bisphosphate at a positively charged stretch of syntaxin consistent with experimental data. An analogous approach choosing an initial set-up with two concentric shells filled with different lipid types results in successful assembly of a spherical vesicle with asymmetric leaflet composition. Self-assembly of the vesicle in the presence of the synaptic vesicle protein synaptobrevin 2 revealed the correct position of the synaptobrevin transmembrane domain. This is the first CG MD method to form a membrane with physiological lipid composition as well as leaflet asymmetry by self-assembly and will enable unbiased studies of the incorporation and dynamics of membrane proteins in more realistic CG membrane models.