We present a developmental approach that allows a humanoid robot to continuously and incrementally learn entities through interaction with a human partner in a first stage before categorizing these entities into objects, humans or robot parts and using this knowledge to improve objects models by manipulation in a second stage. This approach does not require prior knowledge about the appearance of the robot, the human or the objects. The proposed perceptual system segments the visual space into proto-objects, analyses their appearance, and associates them with physical entities. Entities are then classified based on the mutual information with proprioception and on motion statistics. The ability to discriminate between the robot's parts and a manipulated object then allows to update the object model with newly observed object views during manipulation. We evaluate our system on an iCub robot, showing the independence of the self-identification method on the robot's hands appearances by wearing different colored gloves. The interactive object learning using self-identification shows an improvement in the objects recognition accuracy with respect to learning through observation only.