In this work, we investigated the nanostructures and mechanical properties of epoxy thermosets containing a macromolecular miktobrush composed of poly(epsilon-caprolactone) (PCL) and polydimethylsiloxane (PDMS) side chains. The novel macromolecular miktobrush was synthesized via the combination of reversible addition-fragmentation chain transfer and ring-opening polymerizations. In the brush-like copolymer the molar ratio of PCL to PDMS was controlled to be 1:1 and the length of PCL chains was controlled to be close to that of PDMS chains (i.e., L (PDMS) = 1000). The densely grafted miktobrush copolymer was incorporated into epoxy and the nanostructured thermosets were obtained as evidenced by means of transmission electron microscopy and dynamic mechanical thermal analysis. The results of small-angle X-ray scattering showed that the formation of nanostructures in the thermosets followed a self-assembly mechanism. The measurement of critical stress intensity factor (K (1C)) showed that the nanostructured thermosets displayed the improved fracture toughness owing to the formation of nanostructures.