Well-defined amphiphilic Y-shaped miktoarm star-block copolymers of PEO and PCL were synthesized by ring-opening polymerization of ε-caprolactone initiated by a PEO-bound lysine macroinitiator. The copolymers were characterized by (1)H NMR, SEC, DSC, and WAXD techniques. Separate PCL and PEO crystalline phases occur in melt-crystallized copolymers when their segmental lengths were comparable and the PCL content was ≤80 wt %. Self-assembling of these copolymers in aqueous medium led to nanoaggregates with low critical aggregation concentration values (0.35 to 1.6 mg·L(-1)) and size depending on composition. Despite the fact that copolymers were not prone to self-organize in vesicles, once processed by a novel w/o emulsion-melting-sonication technique, they gave nanocapsules with a water core and a hydrophilic surface. A macromolecular fluorescent dye was effectively loaded and released at sustained rate by optimizing nanocapsule formulation. The results demonstrate that amphiphilic block copolymers can be assembled in different kinds of nanomorphologies independently of their hydrophilic/hydrophobic balance and architecture through specifically designed preparation techniques.