Amphiphilic triblock copolymers of PEO-PPO-PCL with various block compositions have been synthesized by ring-opening polymerization (ROP) of ε-caprolactone (ε-CL) initiated by the OH group of methoxy-poly(ethylene oxide)-poly(propylene oxide) (Me-PEO-PPO). Their structures were confirmed by Fourier transform infrared (FT-IR) measurements, and their self-assembly in aqueous solution was studied using fluorescence spectroscopy, transmission electron microscopy (TEM), UV-vis spectra, differential scanning calorimetry (DSC), and surface tension. For the copolymers studied in this paper, the critical aggregation concentrations (CAC) ranged from 5×10(3) to 2 mg/L. The critical micelle concentrations (CMC) decreased with increasing PCL block length, and the downtrend was more significant in the short PCL block length. All of the three copolymers were capable of solubilizing hydrophobic molecules (pyrene) in aqueous solution and copolymers with a longer PCL block exhibited a stronger solubilizing ability. The TEM images showed that the size and morphology of the aggregations could be tuned by varying the compositions or the concentration.