In this communication, the morphology of well-defined P3DDT-b-PMMA with a 65.2% PMMA coil volume fraction is revealed as a hexagonally packed cylinder structure by X-ray scattering experiments after thermal annealing. Upon heating, an order-to-order transition (OOT) between cylindrical and gyroidal structures is observed at temperatures above 170 °C. The evolution of the cylinder to the gyroid occurs while the crystalline structure of the P3DDT block disappears, suggesting the conformation of the P3DDT-b-PMMA at high temperatures is similar to coil–coil block copolymers. The phenomena reported here can provide a different viewpoint of the self-assembly behaviors of poly(3-alkylthiophene)-containing rod–coil block copolymers. The novel rare gyroid structure of this rod–coil copolymer is useful to fabricate long sought of bicontinuous structure for highly efficient polymer solar cells.