The self‐assembly and dynamics of amphiphilic diblock copolymers composed of densely grafted poly(oligo ethylene glycol methacrylate) (POEGMA) and poly(lauryl methacrylate) (PLMA) by means of calorimetry, small‐angle X‐ray scattering (SAXS), and dielectric spectroscopy are investigated. It is reported that the inherent immiscibility between the parent homopolymers, combined with the increased molar mass, results in strong segregation, maintained up to elevated temperatures (i.e., T = 423 K). SAXS reveals that well‐separated POEGMA and PLMA domains self‐assemble into spheres with bicontinuous cubic packing and in lamellar nanostructure in copolymers with respective compositions of 16 and 52 wt.% PLMA. This strong segregation enables the weak crystallization/melting of the short ethylene glycol chains. Additionally, molecular dynamics are investigated through isothermal dielectric and calorimetry measurements. The segmental dynamics (i.e., Tg‐related) of POEGMA and PLMA closely resemble that found in respective homopolymers, implying heterogeneous dynamics. In the glassy state, the local motions of the POEGMA side chains predominantly govern the observed secondary processes in the copolymers. The results on the heterogeneous dynamics in the current amphiphilic diblock copolymers with the densely grafted architecture are compared and contrasted with copolymers having a bottle–brush architecture lacking the amphiphilic nature.