Dark matter (DM) with sizeable self-interactions mediated by a light species offers a compelling explanation of the observed galactic substructure; furthermore, the direct coupling between DM and a light particle contributes to the DM annihilation in the early universe. If the DM abundance is due to a dark particle-antiparticle asymmetry, the DM annihilation cross-section can be arbitrarily large, and the coupling of DM to the light species can be significant. We consider the case of asymmetric DM interacting via a light (but not necessarily massless) Abelian gauge vector boson, a dark photon. In the massless dark photon limit, gauge invariance mandates that DM be multicomponent, consisting of positive and negative dark ions of different species which partially bind in neutral dark atoms. We argue that a similar conclusion holds for light dark photons; in particular, we establish that the multi-component and atomic character of DM persists in much of the parameter space where the dark photon is sufficiently light to mediate sizeable DM self-interactions. We discuss the cosmological sequence of events in this scenario, including the dark asymmetry generation, the freeze-out of annihilations, the dark recombination and the phase transition which gives mass to the dark photon. We estimate the effect of self-interactions in DM haloes, taking into account this cosmological history. We place constraints based on the observed ellipticity of large haloes, and identify the regimes where DM self-scattering can affect the dynamics of smaller haloes, bringing theory in better agreement with observations. Moreover, we estimate the cosmological abundance of dark photons in various regimes, and derive pertinent bounds.