Novel nanostructured unsaturated polyester resin-based thermosets, modified with poly(ethylene oxide) (PEO), poly(propylene oxide) (PPO), and two poly(ethylene oxide-b-propylene oxide-b-ethylene oxide) block copolymers (BCP), were developed and analyzed. The effects of molecular weights, blocks ratio, and curing temperatures on the final morphological, optical, and mechanical properties were reported. The block influence on the BCP miscibility was studied through uncured and cured mixtures of unsaturated polyester (UP) resins with PEO and PPO homopolymers having molecular weights similar to molecular weights of the blocks of BCP. The final morphology of the nanostructured thermosetting systems, containing BCP or homopolymers, was investigated, and multiple mechanisms of nanostructuration were listed and explained. By considering the miscibility of each block before and after curing, it was determined that the formation of the nanostructured matrices followed a self-assembly mechanism or a polymerization-induced phase separation mechanism. The miscibility between PEO or PPO blocks with one of two phases of UP matrix was highlighted due to its importance in the final thermoset properties. Relationships between the final morphology and thermoset optical and mechanical properties were examined. The mechanisms and physics behind the morphologies lead toward the design of highly transparent, nanostructured, and toughened thermosetting UP systems.