A novel comb-like poly(ethylene glycol) (CPEG), with dominant water-soluble PEG, is found to spontaneously aggregate into vesicles above a certain concentration in water. The hollow, three-dimensional structure of the vesicles is proven by TEM, SEM, and AFM. The diameters of the vesicles are from 200 to 500 nm with 50 nm walls. The spontaneously formed vesicles can be further cross-linked by the reaction between divinyl sulfone (DVS) and the hydroxy groups in the side chains of the CPEG. The spontaneously formed vesicles with dense reactive hydroxy groups will have great potential in both applications and research.