Over the past decades, materials scientists have aspired to exploit nature’s assembly principles to create artificial materials. Self-organization of block copolymer in bulk and selective solvent has attracted considerable attention because it can yield ordered structures in a wide range of morphologies, including spheres, cylinders, vesicles, lamellae, bicontinuous structures, etc., which has been proved to have practical or potential applications in many fields. Epoxy thermosets can also be acted as selective solvent of block copolymer, however, the study on the construction of specific nanostructure in epoxy thermosets is rarely reported. It is well known that the macroscopic properties are closely related to microstructures of materials. The preparation of high performance and functional materials through the design of microstructure has become a new trend in the development of advanced composites. Thus, how to efficiently and accurately achieve required microstructure has become a very essential and urgent subject. In this work, different kinds of block copolymers (eg. polystyrene-poly(ε-caprolactone), polydimethylsiloxane- poly(ε-caprolactone), polydimethylsiloxane-poly(ε-caprolactone)-polystyrene, polystyrene-poly(ε-caprolactone)-polydimethylsiloxane-poly(ε-caprolactone)-polystyrene are synthesized. Various nanostructures, such as, spheres, “worm-like”, lamellae, “flower-like”, “core-shell”, bicontinuous structures, tangled tubular structures, and so on, are effectively constructed in epoxy thermosets through appropriately designing the structure of block copolymer. The effects of component, composites, concentration of block copolymer on the morphologies and sizes of nanostructures are investigated in order to obtain the key factors in constructing specific nanostructure morphologies. Besides, the relationship between nanostructure and macroscopic performance of the epoxy composites is studied. It is believed that designing specific structures in epoxy resins through self-organization could provide new methods for the preparation of advanced functional epoxy composites.