The density functional theory was used to study systematically the microphase separation of amphiphilic comb block copolymers with hydrophilic backbone and hydrophobic side chains in a selective solvent. The effects of the length of backbone and side chains, the grafted density, as well as solvent quality were investigated, and a phase diagram was mapped out. In addition, several novel morphologies, such as toroidal micelles, cage-like micelles, and "sphere-in-vesicle" nanostructure, were identified. The knowledge obtained may provide useful information for future experimental investigations.