Comb copolymers comprising hydrophilic poly(ethylene glycol) comb chains and hydrophobic fluorescent pyrenyl groups were synthesized by a combination of reversible addition-fragmentation chain transfer polymerization and click chemistry. FTIR, H-1 NMR, and gel permeation chromatograph results indicated successful synthesis of the comb copolymers with well-defined structures. The self-assembly of comb copolymers in aqueous solution was investigated. The comb copolymers with different compositions were able to self-assemble into micellar structure or vesicle structure. The pendant pyrenyl groups on the comb copolymer chains had electron donor-acceptor (EDA) interaction with 4-bromo-N,N'-dimethylaniline (BDMA). Vesicle structure formed by BDMA and comb copolymer via EDA interaction was observed by transmission electron microscopy. The fluorescence properties of the supramolecular structure were studied in detail.