Self-assembly behavior of an ABC triblock copolymer, poly(ethylene glycol)-b-polystyrene-b-poly(epsilon-caprolactone) (PEG-b-PS-b-PCL), in aqueous media is presented. The formed micelle structures were analyzed by using transmission electron microscopy, scanning electron microscopy, and laser light scattering. Various fascinating multicompartmental aggregates, including multilamellar vesicles, cylinder-containing vesicles, entrapped vesicles, and porous large compound micelles, were prepared from four copolymers with various block lengths of PEG and PS. The phase separation of hydrophobic PS and PCL blocks, as well as the hydrophilic/hydrophobic balance, plays a crucial role on the self-assembly behaviors. The mechanism regarding the formation of these fascinating aggregates is also suggested.