The aggregation, arrangement and bonding together of a set of components to form an axonemal dynein complex, a dynein complex found in eukaryotic cilia and flagella, in which the motor domain heads interact with adjacent microtubules to generate a sliding force which is converted to a bending motion. [ GOC:cilia http://www.ncbi.nlm.nih.gov/pubmed/19052621 GOC:mah ]