Short-chain amphiphilic diblock copolymers composed of polysiloxane and poly(ethylene oxide) segments show a spontaneous vesicle formation in water. The surfactants were formed with high yields and purity by a hydrosilation coupling reaction between the Si-H-functionalized polysiloxane and the allyl-modified poly(ethylene oxide) block. The phase behavior of the resulting macromolecules was investigated with cryogenic transmission electron microscopy. Depending on the composition of the block copolymer and its concentration in water, the spontaneous formation of vesicles and their transition to lamellar structures were observed.