Thermo-responsive copolymers based on oligo(ethylene glycol) methacrylate (OEGMA, Mn = 300 g/mol) and pentafluorostyrene (PFS), coded PFG, were synthesized by RAFT polymerization, using a trithiocarbonate (CTTPC) as controlling agent. Different molar masses were targeted and dispersities lower than 1.51 were obtained. The thermally triggered self-assembly of the resulting PFG copolymers in water was investigated by dynamic light scattering (DLS). The lower critical solution temperature (LCST) slightly increased with the molecular weight in the 26–30 °C temperature range, whereas the sizes of the intermicellar aggregates formed upon self-assembly tended to decrease with increasing molecular weights (ranging from 1415 to 572 nm). The resulting thermally-induced polymer aggregates were then used to encapsulate and remove organic contaminants from water. Nile Red (NR) and Thiazole yellow G (TYG) were employed as hydrophobic and hydrophilic model contaminants, respectively. Experimental results evidenced that higher molecular weight copolymers removed up to 90% of NR from aqueous solution, corresponding to about 10 mg of dye per g of copolymer, regardless of NR concentration. The removal of TYG was lower with respect to NR, decreasing from about 40% to around 20% with TYG concentration. Finally, the copolymers were shown to be potentially recycled and reused in the treatment of contaminated water.