We investigate supramolecular complexes where a mesogenic molecule, cholesteryl hemi-succinate (CholHS), is hydrogen-bonded to a homopolymer, poly(4-vinylpyridine) (P4VP), to allow liquid crystallinity and to block copolymer polystyrene-block-poly(4-vinylpyridine) (Ps-b-P4VP), to allow hierarchical self-assembly. Blends of P4VP and CholHS (with one or less CholHS molecules vs each pyridine group) form microphase separated smectic A (SmA) structures where the periods correspond to a head-to-head arrangement of the mesogens, based on small angle X-ray scattering (SAXS), polarized optical microscopy (POM), as supported by differential scanning calorimetry (DSC). Heating leads to an isotropic melt. Liquid crystallinity is most stable at low degrees of CholHS complexation, whereas at high degrees of complexation competing effects due to CholHS crystallization may take place, depending on the thermal history. When CholHS is complexed with PS-b-P4VP, hierarchical structure-within-structure morphologies are observed, based on SAXS but also directly visualized using transmission electron microscopy (TEM). The inner structure is smectic and the larger strucure depends on the volume fractions of the corresponding blocks. The morphologies are mapped for different complexation ratios and different molecular weights. The shown hierarchies can be useful to construct functional self-assemblies.