Thermoresponsive polymers play an important role in designing drug delivery systems for biomedical applications. In this contribution, the effect of encapsulated hydrophobic drug dexamethasone on thermoresponsive behavior of diblock copolymers was studied. A small series of diblock copoly(2-oxazoline)s was prepared by combining thermoresponsive 2-n-propyl-2-oxazoline (nPrOx) and hydrophilic 2-methyl-2-oxazoline (MeOx) in two ratios and two polymer chain lengths. The addition of dexamethasone affected the thermoresponsive behavior of one of the copolymers, nPrOx20-MeOx180, in the aqueous medium by shifting the cloud point temperature to lower values. In addition, the formation of microparticles containing dexamethasone was observed during the heating of the samples. The morphology and number of microparticles were affected by the structure and concentration of copolymer, the drug concentration, and the temperature. The crystalline nature of formed microparticles was confirmed by polarized light microscopy, confocal Raman microscopy, and wide-angle X-ray scattering. The results demonstrate the importance of studying drug/polymer interactions for the future development of thermoresponsive drug carriers.