A dissipative particle dynamics (DPD) simulation has been used to study the spontaneous vesicle formation of amphiphilic molecules in aqueous solution. The amphiphilic molecule is represented by a coarse-grained model, which contains a hydrophilic head group and a hydrophobic tail. Water is also modeled by the same size particle as adopted in the amphiphile model, corresponding to a group of several H2O molecules. In the DPD simulation, from both a randomly dispersed system and a bilayer structure of the amphiphile for the initial condition, a spontaneous vesicle formation is observed through the intermediate state of an oblate micelle or a bilayer membrane. The membrane fluctuates and encapsulates water particles and then closes to form a vesicle. During the process of vesicle formation, the hydrophobic interaction energy between the amphiphile and water is diminishing. It is also recognized that the aggregation process is faster in two-tailed amphiphiles than those in the case of single-tailed ones.