The phase transition behaviors of low-molecular-weight polyethylene-poly(ethylene oxide) (PE-b-PEO) diblock copolymers with the monomeric units of PE/PEO = 17/40 and 39/86 have been successfully investigated through the temperature-dependent measurements of wide-angle X-ray diffraction (WAXD), small-angle X-ray scattering (SAXS), infrared and Raman spectra, as well as thermal analysis. These diblock copolymers had been believed to show only order-to-disorder transition of lamellar morphology in a wide temperature region, but it has been found here for the first time that this copolymer clearly exhibits the three stages of transitions among lamella, gyroid, cylinder, and spherical phases in the heating and cooling processes. The WAXD and IR/Raman spectral measurements allowed us to relate these morphological changes to the microscopic changes in the aggregation states of PEO and PE segments. In the low-temperature region the PEO segments form the monoclinic crystal of (7/2) helical chain conformation and the PE segments of planar-zigzag form take the orthorhombic crystalline phase. These crystalline lamellae of PEO and PE segments are alternately stacked with the long period of 165 angstrom. In a higher temperature region, where the PEO crystalline parts are on the way of melting but the PE parts are still in the orthorhombic phase, the gyroid morphology is detected in the SAXS data. By heating further, the gyroid morphology changes to the hexagonally packed cylindrical morphology, where the orthorhombic phase of PE segments is gradually disordered because of thermally activated molecular motion and finally transforms to the pseudohexagonal or rotator phase. Once the PE segments are perfectly melted, the higher-order structure changes from the cylinder to the spherical morphology. These morphological transitions might relate to the thermally activated motions of two short chain segments of the diblock copolymer, although the details of the transition mechanism are unclear at the present stage.