Phase separation of asymmetric diblock copolymer near surfaces in selective solvents is theoretically investigated by using the real-space version of self-consistent field theory (SCFT). Several morphologies are predicted and the phase diagram is constructed by varying the distance between two parallel hard surfaces (or the film thickness) W and the block copolymer concentration f(P). Morphologies of the diblock copolymer in dilute solution are found to change significantly with different film thicknesses. In confined systems, stable morphologies found in the bulk solution become unstable due to the loss of polymer conformation entropy. The vesicle phase region contracts when the repulsive interaction between the blocks is strong (strong segregation regime). The mixture of vesicles, rodlike and spherelike micelles and the mixture of vesicles and sphere-like micelles disappear in contrast to the weakly segregating regime. The walls strongly affect the phase separation of block copolymer in selective solvent, and the depletion layer near the surface contributes much to the micelle formation of the block copolymer. Interestingly, the self-assembled morphologies stay near the walls with the distance on the order of the radius of gyration of the block copolymer. The oscillation of the polymer distribution near the walls allows the surface phase separation to be observed due to the strong repulsion between the blocks A and B.