In this study, a series of π-conjugated block copolymers of regioregular poly(3-hexyl thiophene)-b-poly(2-vinyl pyridine) (P3HT–P2VP) was synthesized and their self-assembly behavior and the detailed thermodynamic phase diagram were explored. By a combination of TEM, SAXS, WAXS, and UV-VIS measurements, it was found that the π-conjugated P3HT in their various self-assembled nanodomains could be a rigid rod, or a semi-rigid chain, or even a fully flexible chain. With the P2VP volume fraction, ϕ, = 0.20, the P3HT–P2VP displays a nanowire structure with a fully extended all-transP3HT rod structure across the width of the nanowires, indicating a prevailing rod–rod interaction between P3HT blocks over the microphase separation interaction between the constituent blocks. With ϕ = ∼0.30 to 0.6, the P3HT–P2VPs show a highly ordered lamellar structure with the P3HT block exhibiting as a semirod-like chain composed of shorter rods connected by twisted 3HT units. With ϕ > 0.68, the π-conjugated block copolymers display self-assembling nanostructures of hexagonal close packed cylinders and spheres, indicating that P3HT adopts a fully coil-like structure that favors interfacial curvatures. In particular, for the P3HT–P2VP with ϕ = 0.68, a gyroid phase, the first of its kind for π-conjugated block copolymers, was observed upon heating. For the nanowire structured P3HT–P2VP, a liquid crystalline phase transition from the smectic-like crystalline state to a nematic structure was observed at ∼200 °C. The observed microstructures and transformations reveal the importance of the semirigid nature of π-conjugated P3HT chains and provide new guidelines for the organization of π-conjugated block copolymers for future optoelectronic applications.