Through zeta potential and surface tension measurements and a series of polymerization experiments, the role of poly(ethylene glycol) (PEG) in the process of surfactant-free polymerization of styrene (St)/methyl methacrylate (MMA) has been investigated experimentally. Nanoscale and stable copolymer particles were formed after an abnormal process, in which the nucleation and growth of particles was different from that in previously proposed mechanisms. It has been observed that PEG can exist in both the monomer and the aqueous phases at high temperature. PEG in the aqueous phase could form copolymer particles with a loose structure, making them prone to enter the monomer phase. Entry of these copolymer particles into the monomer phase would introduce excess PEG. From the ternary phase diagram, a solubility curve could be delineated in the ternary system of PEG/monomer/copolymer. The system used the ternary solubility property to regenerate copolymer particles in the monomer phase, which maintained their morphology until the end of the polymerization. At the end, consumption of the monomer resulted in the volume contraction of the particles, and the surface potential increased. This increasing potential is a driving force to prevent particles from stacking, leading to the formation of nanoscale and stable particles.