Poly(ethylene oxide)-block-poly(sodium p-styrenesulfonate) (PEO-b-PSSNa) diblock copolymer was synthesized and then incorporated into epoxy to obtain the nanostructured epoxy thermosets containing polyelectrolyte nanophases. This PEO-b-PSSNa diblock copolymer was synthesized via the radical polymerization of p-styrenesulfonate mediated with 4-cyano-4-(thiobenzoylthio)valeric ester-terminated poly(ethylene oxide). The formation of polyelectrolyte (i.e., PSSNa) nanophases in epoxy followed a self-assembly mechanism. The precursors of epoxy acted as the selective solvent of the diblock copolymer, and thus, the self-assembled nanostructures were formed. The self-organized nanophases were fixed through the subsequent curing reaction. By means of transmission electron microscopy (TEM) and small-angle X-ray scattering (SAXS), the morphologies of the nanostructured epoxy thermosets containing PSSNa nanophases were investigated. In the glassy state, the epoxy matrixes were significantly reinforced by the spherical PSSNa nanodomains, as evidenced by dynamic mechanical analysis. The measurement of dielectric properties showed that, with the incorporation of PSSNa nanophases, the dielectric constants of the epoxy thermoset were significantly increased. Compared to the control epoxy, the dielectric loss of the nanostructured thermosets still remained at quite a low level, although the values of dielectric loss were slightly increased with inclusion of PSSNa nanophases.