The electronic structure of conjugated polymer films is of current interest due to the wide range of potential applications for such materials in optoelectronic devices. A central outstanding issue is the significance of interchain electronic species in films of these materials. In this paper, we investigate the nature of interchain species in films of poly[2-methoxy-5-(2'-ethylhexyloxy)-1,4-phenylene vinylene] (MEH-PPV) both before and after thermal annealing. Our investigation employs a combination of third harmonic generation (THG) and near-field scanning optical microscopy to measure the wavelength and spatial dependence of the THG efficiency. These chemically selective imaging measurements reveal new, low-energy absorption features in nanometer-scale spatially distinct regions of annealed films that are only infrequently observed prior to annealing. This suggests that the polymer strands in annealed MEH-PPV films pack together closely enough that significant ground-state wave function overlap can occur: thermal annealing creates nanoscopic aggregation domains. THG polarization studies indicate that polymer chain segments in these domains have a preferred orientational alignment. The spatial correlation of these aligned nanoscopic regions within the annealed films suggests that they form via a nucleation and growth type mechanism. In combination with previous work, these data support the idea that the nature and spatial distribution of interchain interactions in conjugated polymer films are complex; conjugated polymer films likely contain an inhomogeneous spatial distribution of both ground- and excited-state interchain species.