A tandem synthetic strategy combining chain walking polymerization and azide–alkyne click chemistry was successfully used to prepare amphiphilic copolymers with a dendritic polyethylene core and poly(ethylene oxide) (PEO) arms. Dendritic polyethylene (DPE) tethered with multi-reactive hydroxyl groups (DPE-(OH)₁₁) was synthesized by copolymerization of ethylene and trimethylsilyl-protected 2-hydroxyethyl acrylate using an α-diimine palladium catalyst under low ethylene pressure of 0.1 atm. Alkynyl-terminated DPE (DPE-()₁₁) was quantitatively obtained by esterification reaction of DPE-(OH)₁₁ with pentynoic acid. Using a “grafting to” technique, PEO precursors with a terminated azido group were introduced to the DPE core with high efficiency by azide–alkyne click coupling reaction. The self-assembly behaviors of the obtained core–shell amphiphiles in selective solvents including water and hexane were studied by TEM, AFM and fluorescence. Supramolecular vesicles, unimolecular micelles, and multi-molecular micelles were observed, which is dependent on selective solvent as well as number and chain length of PEO arm.