The self-assembly behaviour of block copolymers in solution has been of significant interest over the past two decades for a number of applications — for example, as delivery vectors and micro-reactors. More recently, attention has turned to the formation of aggregates with complex internal structure, such as multi-compartment micelles and the so-called "Janus" particles (biphasic aggregates) for their promising application as vectors for the simultaneous inclusion of chemically-different encapsulates and their possible catalytic and templating properties. The challenge has been to observe these complex aggregates in such a way as to be able to characterise their internal morphology whilst preserving their intricate structure. To this end, cryogenic transmission electron microscopy (cryoTEM) has become a powerful and indeed a necessary tool for the elucidation and observation of self-assembled polymer systems. Through its use, a new class of complex micelles has been discovered: amphiphilic block copolymer nanospheres with internal bicontinuous structure. These structures have been observed from a variety of block copolymer amphiphiles, although rarely. Intriguingly, there is no seemingly obvious unifying blueprint for their formation. This review will present the importance of cryoTEM in the elucidation and characterisation of internally-structured polymeric aggregates in recent years and highlight its significance in the definition of bicontinuous dispersions.