This article describes the structural transition undergone by a vesicle forming diblock copolymer made of a hydrophobic poly(gamma-benzyl-L-glutamate) sequence with helical secondary structure and of a hydrophilic poly[2-(dimethylamino) ethyl methacrylate] block when inserting hydrophobic iron oxide nanoparticles to impart magnetic properties in addition to pH-and temperature-responsiveness. Dispersed within the hydrophobic rod-like polymer domains, the quasi-spherical particles experience depletion attraction, leading to microphase separation and finally to transition from vesicles to hybrid core-shell micelles. Such combination of self-assembly with excluded-volume effects, also present in living systems and giving rise to such a large structural diversity and functionality, can be integrated in materials science towards the design of original nanostructures.