Detailed investigations on the self‐assembly of amphiphilic star block copolymers composed of three‐arm poly(ethylene oxide) (PEO) and poly(methacrylate) (PMAAz) with an azobenzene side chain (denoted as 3PEO‐b‐PMAAz) into stable spherical aggregates with clear lamellar stripes in solution are demonstrated. Four block copolymers, 3PEO12‐b‐PMA(Az)33, 3PEO22‐b‐PMA(Az)31, 3PEO22‐b‐PMA(Az)62, and linear PEO68‐b‐PMA(Az)31, are synthesized. The liquid crystalline properties of the block copolymers are studied by differential scanning calorimetry, polarized optical microscopy techniques, and wide‐angle X‐ray diffraction. The morphologies of the compound micelles self‐assembled in tetrahydrofuran (THF)/water mixtures are observed by means of transmission electron microscopy and scanning electron microscopy. The size of the spherical micelles is influenced by the self‐assembly conditions and the lengths of two blocks. The well‐defined three‐arm architecture of the hydrophilic blocks is a key structural element to the formation of stable spherical compound micelles. The micelle surface integrity is affected by the lengths of PEO blocks. The lamellar stripes are clearly observed on these micelles. This work provides a promising strategy to prepare functional stable spherical compound micelles self‐assembled by amphiphilic block copolymers in solution.