li = [
    'Component 1: Y component: Quantization table 0, Sampling factors 1 horiz/1 vert'
    ,
    'Component 2: Cb component: Quantization table 1, Sampling factors 1 horiz/1 vert'
    ,
    'Component 3: Cr component: Quantization table 1, Sampling factors 1 horiz/1 vert'
    , 'Compression Type: Progressive, Huffman', 'Content-Length: 14312',
    'Content-Type: image/jpeg']
d = OrderedDict((sub[0], {sub[1]: sub[2:]}) if sub[2:] else (sub[0], sub[1]
    ) for sub in [item.split(':') for item in li])
d
Formation of dictionary from list element