We describe and study by small-angle X-ray scattering (SAXS) a new type of hybrid system. It is composed of a swollen lyotropic hexagonal phase into the cylinders of which solid magnetic particles of nanometric size have been incorporated. It has been found to be stable for volume fractions of particles up to 2% provided the cylinders are sufficiently large. A unidimensionnal magnetic liquid is thus realized. The structural properties of this colloidal assembly have been investigated by SAXS, and the specific features of the scattering spectra are analysed and interpreted. One of the remarkable results is the evidence of depletion interactions between the particles and the inner walls of the cylinders inside which particles are located.