Micelles, worm-like micelles and vesicles were prepared from poly(ethylene oxide)-b-poly(caprolactone) block copolymersvia a solvent switch method, and characterised by light scattering, X-ray scattering and cryo-transmission electron microscopy. The volume fraction of ethylene oxide, as the hydrophilic part in these polymers, determined the morphology in dilute solution, with spherical micelles, worm-like micelles, vesicles and precipitate being formed as the volume fraction decreased. The mechanism by which vesicles were formed in these systems during sequential dilution of the initial THF-rich solution with water was probed. It was shown that vesicles formed via a sequence of morphologies. The transitions between different self-assembled structures were followed using dynamic cryo-TEM. The behaviour of the PEO-b-PCL system was compared with the well-studied poly(acrylic acid)-b-poly(styrene) system; the behaviour was shown to differ in the final stage during the transition from worm-like micelles to vesicles.