Amphiphilic diblock copolymers composed of two covalently linked, chemically distinct chains can be considered to be biological mimics of cell membrane-forming lipid molecules, but with typically more than an order of magnitude increase in molecular weight. These macromolecular amphiphiles are known to form a wide range of nanostructures (spheres, worms, vesicles, etc.) in solvents that are selective for one of the blocks. However, such self-assembly is usually limited to dilute copolymer solutions (<1%), which is a significant disadvantage for potential commercial applications such as drug delivery and coatings. In principle, this problem can be circumvented by polymerization-induced block copolymer self-assembly. Here we detail the synthesis and subsequent in situ self-assembly of amphiphilic AB diblock copolymers in a one pot concentrated aqueous dispersion polymerization formulation. We show that spherical micelles, wormlike micelles, and vesicles can be predictably and efficiently obtained (within 2 h of polymerization, >99% monomer conversion) at relatively high solids in purely aqueous solution. Furthermore, careful monitoring of the in situ polymerization by transmission electron microscopy reveals various novel intermediate structures (including branched worms, partially coalesced worms, nascent bilayers, “octopi”, “jellyfish”, and finally pure vesicles) that provide important mechanistic insights regarding the evolution of the particle morphology during the sphere-to-worm and worm-to-vesicle transitions. This environmentally benign approach (which involves no toxic solvents, is conducted at relatively high solids, and requires no additional processing) is readily amenable to industrial scale-up, since it is based on commercially available starting materials.