Living systems at all scales aggregate in large numbers which consist of unconnected individuals that collectively flock, school or swarm. However, some aggregations involve physically entangled individuals, which can confer emergent mechanofunctional material properties to the collective. Here, we study in laboratory experiments and rationalize in theoretical and robotic models the locomotor dynamics of physically entangled and motile self-assemblies of centimeter long California blackworms (L. variegatus). We specifically focus on how worm blob can break symmetry to move across a substrate under thermal gradient. Depending on the position in a blob, individual worms encounter different thermal stimuli. We observe that in a small blob (N= 20), worms facing the cold side act as pullers, in contrast the worms closer to the hot side are coiled to lift the back of the blob. As the blobs increase in number (N>300), we observe that the blob moves at a slower speed compared to smaller blobs, but the movement becomes more consistent compared to the relatively jerky pull events observed in smaller blobs. We hypothesize that an entangled collective can exhibit emergent locomotion via three principles: mechanical interactions (entanglements), differentiation of roles in the collective, and the existence of binders. To test this, we developed robophysical blobs which programmed to model high (crawl) and low (wiggle and binder) stimulus behaviors of worms. Our results reveal that (1) gait differentiation is critical for collective movement, but synchronization is not required, and (2) reduced activity of the robots enhances the physical entanglement between individuals. This combination enables the robot blob to move as a collective without sophisticated control of individuals.