Our recent experimental study on electrospinning of block copolymer (BCP)–nanoparticle (NP) nanocomposites has revealed the formation of unique self-assembling structures in submicron scale fibers. In this paper, we use coarse-grained molecular dynamics (MD) simulations to investigate the effect of cylindrical confinement on self-assembly of model asymmetrical BCPs with and without NPs with the aim to understand and control our experimentally found structures. First, the effects of the ratio of the cylindrical confinement diameter to the BCP domain spacing, D/L₀, the total polymer chain length, and the polymer–wall interactions on the confined assembly were thoroughly investigated. We examined the core assembled structures along the cylinder axis and constructed a phase diagram for asymmetrical BCP. The structures are categorized by three features: the number of layers of domains, radially interconnected domains, and the number of axially perforated domains. Secondly, NPs with selective attraction towards the (i) minor domain (A) and (ii) major domain (B) were incorporated into asymmetric BCPs. We found that swelling of either domain caused by the inclusion of selective NPs yields different morphologies when compared with a pure BCP with the same effective volume ratio. Interestingly, the effect of confinement on nanoparticle placement was prominently seen if nanoparticles were selectively placed into the minor domain that preferentially wets the confining wall. Finally, the predicted BCP–NP structures are validated by those observed in electrospun BCP–NP nanofibers. The current study demonstrates that coarse-grained MD simulation can offer a useful tool to elucidate, predict and tailor self-assembled structures in electrospun BCP–NP nanofibers.