Colloidal microcapsules of thin nanoshell membranes were prepared by the evaporation-induced self-assembly of poly(styrene)-block-poly(butadiene)-block-poly(styrene) (SBS) triblock copolymers inside the oil phase of a water-in-oil-in-water (W/O/W) double emulsion, which was prepared via a two-step sequential emulsification process. To see the nanoconfinement effect, the shell thickness was kept very thin and comparable to the feature scale of self-organized nanostructure. By exploiting the density mismatch between the microcapsules and the continuous medium, single-cored microcapsules with thin shells were selectively separated from mixtures of multicored microcapsules or thick-shelled microcapsules. The internal morphology of the membrane could be modulated by controlling the volume fractions of styrene and butadiene blocks, which was achieved simply by adding polystyrene homopolymer of relatively low molecular weight. By varying the amount of homopolymer, various morphologies were produced in the microcapsule membranes, including lamellae, perforated lamellae, and cylindrical and spherical phases. Moreover, the addition of polystyrene homopolymer could be used to control the mechanical characteristics of the microcapsules.