A highly oriented nanostructure of poly(styrene)-b-(ethylene-alt-propylene)-b-(ethylene) (PS/PEP/PE) semicrystalline terblock copolymer was deformed under tensile loading. Roll casting process oriented the microdomains of the terpolymer. Hexagonally ordered PS cylinders subsequently guided the crystallization of the PE block occurring in between the PS cylinders, resulting in the molecular chain orientation of the PE blocks perpendicular to the PS cylinder axis. The structure change of the terblock copolymer under deformation was monitored using Simultaneous Wide Angle X-ray Scattering (WAXS) and Small Angle X-ray Scattering (SAXS). The samples with the load parallel and perpendicular to the cylindrical axis of the PS show their mechanical failures at the strain of approximate 100% and 210%, respectively. The anisotropic mechanical behavior was interpreted by interplay of the different types of the nano scale domains.