The transition from the lamellar (lam) to the gyroid (gyr) phase in the melt of a poly(oxyethylene)–poly(oxybutylene) (EB) diblock copolymer was shown to proceed via an intermediate perforated lamellar (pl) structure. The transition was studied starting from a shear-oriented lamellar phase using synchrotron small-angle X-ray scattering (SAXS) with simultaneous rheology. The transition occurred with a continuous variation of q*, the position of the principal peak position, although the slope of q* as a function of temperature increased in the region of the transition (pl state). In the intermediate state, the variation of q* with T was shown to be much stronger than that of the radius of gyration of EB diblocks. It was observed that the gyr phase developed from an oriented pl phase precursor as an isotropic distribution of grains. This indicates that growth of this structure did not occur epitaxially on a macroscopic scale. Finally, density images corresponding to lam, hexagonal perforated lamellar and gyr structures were generated using a single wavenumber approximation, based on the SAXS evidence that diffraction patterns are dominated by the first Fourier component.