The annealing effects of block and graft copolymer membranes consisting of ethanol-permselective poly(dimethylsiloxane) (PDMS) plus water-permselective poly(methyl methacrylate) (PMMA) on their permselectivity for an aqueous ethanol solution in pervaporation were investigated in terms of their microphase separation. The ethanol-permselectivity of the block copolymer membranes was strongly influenced by the annealing, but that of the graft, copolymer membranes was not. The original block copolymer membranes changed from water- to ethanol-permselectivity at a DMS content of 55 mol %, but the annealed block copolymer membranes changed at a DMS content of 37 mol %. Transmission electron micrography demonstrated that the annealing of the block copolymer membranes with a DMS content between 37 and 55 mol % resulted in dramatic changes in the morphology of their microphase separation. However, the annealing of the graft copolymer membranes had very little effect on the morphology of their microphase separation, which was quite different from the morphology of the block copolymer membranes. The analysis using a combined model consisting of parallel and series models revealed that a continuous PDMS phase in the direction of the membrane thickness is readily formed by the annealing of the block copolymer membranes. As a result, the continuity of the PDMS phase in the microphase separation governed the ethanol-permselectivity of these membranes for an aqueous ethanol solution. This report concludes that the morphological design of microphase-separated membranes, which can be achieved by membrane annealing, is very important in controlling their permeability and permselectivity.