Liquid crystalline ordering in polymer brushes formed by macromolecules with mesogenic groups in the main chain and immersed in a solvent is investigated theoretically by numerical calculations within a self-consistent field approximation. Existence of a microphase-segregated brush regime with a collapsed orientationally ordered intrinsic sublayer and a swollen external sublayer is shown. At high grafting density (sigma), the transition from a conventional brush state to the microphase-segregated state is continuous. At small sigma, it is a jumpwise first-order phase transition for a finite chain length (N), the magnitudes of the jumps in the average characteristics of the brush tend to zero in the limit N --> infinity.