We report the fabrication of thermoset vesicles using a thermoplastic-clay nanocomposite vesicle reusable template. Epoxy polymer vesicles (EPV) of micrometer diameters were synthesized from bisphenol-A diglycidyl ether resin encapsulated within a self-assembled, polystyrene-montmorillonite hybrid nanocomposite (PCN) template and in situ cross-linked with polyamine curing agent. The size and wall thickness of the EPV vesicles were shown to be controlled by the epoxy resin concentration up to a critical epoxy concentration of 20 wt %, beyond which the wall thickness alone was found to be increasing. The EPVs dispersed in a polystyrene matrix at a loading of 2 wt % were found to reduce the dielectric constant of polystyrene from 3.1 to 2.0, and a linear decrease with decreasing wall thickness of the EPV, attributed to the increase in free volume involving the intrinsic porosity from the rigid epoxy vesicles and the composite, exhibited improved thermal stability also. The result suggests that vesicles produced by micromolding using self-assembled PCN can be utilized for the synthesis of polymer microcomposites having good interfacial bonding as well as low dielectric constant and good thermal stability for use in electronic packaging applications.