The supramolecular self-assembly of monocarboxydecyl-terminated dimethylsiloxane oligomer is investigated and characterized by combining different experimental methods. Thermodynamic properties were accessed by temperature-modulated differential scanning calorimetry, and two subambient phase transitions were identified. Fourier transform infrared spectroscopy gave access to the main molecular entities involved in these phase transitions. Diffraction experiments using small-angle X-ray scattering and wide-angle X-ray scattering evidenced the development of two distinct well ordered sub-10 nm structures, each associated with one of the thermal transitions, without any indication of long-range atomic order. All the results point to the self-assembly of the oligomeric dimers below 230 K, giving rise to supramolecular structures involving new H-bonding interactions. A further structure is developed below 205 K by the assembly of the alkane part of the molecules in an arrangement of hexagonally packed cylinders. Dielectric relaxation experiments evidenced both the pronounced effect of the lowest temperature transition on the H-bond network fluctuations and the very effective segregation of dimethylsiloxane at lower temperatures. Moreover, we found that the structured liquid presents a rubber-like mechanical behavior in the temperature range 150-200 K, where dimethylsiloxane phase remains amorphous, and at lower temperatures a glassy nanostructured material is found.