We used in situ annealing small-angle X-ray scattering to monitor the structural evolution of a spherical poly(styrene-b-4-vinylpyridine) diblock copolymer (PS-b-P4VP)/2-phenylethanethiol-coated Au nanoparticle (AuSC2Ph) mixture in the solid state during its thermal annealing. We found that the Au nanoparticles (NPs) that existed initially in a random state with some cluster packing in the PS domain diffused to the interface of the amphiphilic PS-b-P4VP diblock copolymer within 4 h at 170 degrees C under vacuum to form NP-filled shell-like assemblies, as further evidenced from transmission electron microscopy imaging. From the X-ray photoelectron spectroscopy data, we speculate that this interfacial activity of AuSC2Ph results from the fact that the initially hydrophobic Au NP surfaces became increasingly hydrophilic as most of the 2-phenylethanethiol ligands had evaporated off. The Au NP nanoshell assemblies located at the interface between PS and P4VP were quite stable even after redissolving in toluene; they remained in the form of PS-Au-P4VP core/shell/corona onion micelles, as evidenced from solution state small-angle X-ray scattering data.