A simple and effective method is introduced to synthesize a series of polystyrene-b-poly(oligo(ethylene oxide) monomethyl ether methacrylate)-b-polystyrene (PSt-b-POEOMA-b-PSt) triblock copolymers. The structures of PSt-b-POEOMA-b-PSt copolymers were characterized by Fourier-transform infrared spectroscopy (FTIR) and nuclear magnetic resonance ($^1H$ NMR) spectroscopy. The molecular weight and molecular weight distribution of the copolymer were measured by gel permeation chromatography (GPC). Furthermore, the self-assembling and drug-loaded behaviours of three different ratios of PSt-b-POEOMA-b-PSt were studied. These copolymers could readily self-assemble into micelles in aqueous solution. The vitamin E-loaded copolymer micelles were produced by the dialysis method. The micelle size and core-shell structure of the block copolymer micelles and the drug-loaded micelles were confirmed by dynamic light scattering (DLS) and transmission electron microscopy (TEM). The thermal properties of the copolymer micelles before and after drug-loaded were investigated by different scanning calorimetry (DSC). The results show that the micelle size is slightly increased with increasing the content of hydrophobic segments and the micelles are still core-shell spherical structures after drug-loaded. Moreover, the glass transition temperature (Tg) of polystyrene is reduced after the drug loaded. The drug loading content (DLC) of the copolymer micelles is 70%-80% by ultraviolet (UV) photolithography analysis. These properties indicate the micelles self-assembled from PSt-b-POEOMA-b-PSt copolymers would have potential as carriers for the encapsulation of hydrophobic drugs.