In this contribution, we reported the synthesis of a core-shell cylindrical brush copolymer with poly(2-hydroxyethyl methacrylate) (PHEMA) backbone and polystyrene-block-poly(ε-caprolactone) (PS-b-PCL) diblock side chains [denoted PHEMA-g-(PS-b-PCL)n] with the combination of atom transfer radical polymerization, the Huisgen 1,3-dipolar cycloaddition between azido and alkynyl groups and the ring-opening polymerization via a sequential “grafting from” polymerization approach. The cylindrical brush block copolymer was characterized by means of 1H nuclear magnetic resonance spectroscopy (NMR), gel permeation chromatography (GPC), atomic force microscopy (AFM) and differential scanning calorimetry (DSC). It is found that the fibrillar nanophases were formed with the length of about 400 nm and the diameter of about 15 nm via reaction-induced microphase separation mechanism while this cylindrical block copolymer brush was incorporated into epoxy thermosets. The fibrillar nanophases were characterized by means of transmission electron microscopy (TEM), small-angle X-ray scattering (SAXS) and dynamic mechanical thermal analysis (DMTA). The formation of the fibrillar nanophases was interpreted on the basis of the constraint of cylindrical brush architecture of copolymer on reaction-induced microphase separation behavior.