Effective "soft" interactions between macromolecules such as polymers, amphiphilic dendrimers, and suitably designed DNA based dendritic molecules have been shown to be purely repulsive and non-diverging. We report the structure and phase behavior of a mixture of hard colloids and soft coarse-grained macromolecules. Through the use of Reference Interaction Site Model theory and molecular dynamics simulations we find that hard colloids and soft macromolecules act as depletants toward each other, generating a medium-induced effective attraction. This effective attraction leads to the formation of non-dispersed phases at high densities. At low and high fractions of hard colloids the system macrophase separates into two disparate regions of hard colloids and soft macromolecules. However, this system microphase separates into a hard-rich and soft-rich self-assembled domains at intermediate compositions. The formation of microphase separated structure in this system of isotropic, disconnected, and purely repulsive colloids is surprising and quite novel. This behavior is likely due to a softening of the interface between hard-rich and soft-rich self-assembled domains. Molecular dynamics simulations have revealed that the microphase separated state has an overall disordered bicontinuous morphology. The hard-rich domain forms an ordered FCC structure and the soft-rich domain forms a disordered cluster-fluid, making the structure simultaneously ordered and disordered.