We report a novel approach to prepare nanostructured thermosets using block ionomer complexes. Neither block copolymer polystyrene-block-poly(ethylene-ran- butylene)-block-polystyrene (SEBS) nor block ionomer sulfonated SEBS (SSEBS) is miscible with diglycidyl ether of bisphenol A (DGEBA) type epoxy resin. It is thus surprising that the block ionomer complex of SSEBS with a tertiary amine-terminated poly(ε-caprolactone) (PCL), denoted as SSEBS-c-PCL, can be used to prepare nanostructured epoxy thermosets. The block ionomer complex SSEBS-c-PCL is synthesized via neutralization of SSEBS with 3-dimethylamino- propylamine-terminated PCL. Sulfonation of SEBS yields the block ionomer SSEBS which is immiscible with epoxy. But the block ionomer complex SSEBS-c-PCL can be easily mixed with DGEBA. When the curing agent 4,4′-methylenedianiline (MDA) is added and the epoxy cures, the system retains the nanostructure. In cured epoxy thermosets containing up to 30 wt% SSEBS-c-PCL, the exclusion of the poly(ethylene-ran-butylene) (EB) phase forms spherical micro-domains surrounded by separated sulfonated polystyrene phase while the PCL side-chains of SSEBS-c-PCL are dissolved in the cured epoxy matrix. The spherical micro-domains are highly aggregated in the epoxy thermosets containing 40 and 50 wt% SSEBS-c-PCL. The existence of epoxy-miscible PCL side-chains in the block ionomer complex SSEBS-c-PCL avoids macro-phase separation. Hence, the block ionomer complex can act as an efficient modifier to achieve nanostructured epoxy thermosets.