Inspired by the octopus, a typical nanostructure consisting of a spherical “body” and worm-like “tentacles with suckers” was constructed through incorporating polydimethylsiloxane-block-poly(ε-caprolactone)-block-polystyrene (BXLS) in epoxy thermosets. The novel nanostructure of BXLS copolymer and its morphology evolution during the epoxy curing process were investigated by transmission electron microscopy, field emission scanning electron microcopy and small-angle X-ray scattering. The mechanical properties of epoxy composites were significantly enhanced with a very low BXLS loading fraction. A 1.75 wt% of BXLS block copolymer could increase the tensile strength and fracture toughness up to 93.57 MPa and 137.43 N/mm3/2, which were 1.31 times and 2.92 times that of the neat epoxy, respectively. Meanwhile, the toughening mechanism and the relationship between the high-performance properties of the epoxy composites and the nanostructure of the BXLS block copolymer were thoroughly studied. It is expected that our work can provide some new ideas and approaches for fabricating high-performance thermosets.