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Encapsulating delicate biomolecules into submicron-sized polymer particulate systems with preserved native conformation and sufficient loading efficiency is of great challenge. To address this issue, we developed a unique polymersome which differs from reported polymersome in that its bilayer membrane was formed of two different amphiphilic diblock copolymers in an “asymmetric” way. By adding two diblock copolymers, poly (ethylene glycol)-block-poly (ε-caprolactone) (PEG-PCL) and dextran-block-poly (ε-caprolactone) (DEX-PCL), into a so-called dextran-in-PEG aqueous two-phase system, DEX-PCL formed the inner leaflet around the dispersed dextran phase and PEG-PCL formed the outer leaflet with the PEG block facing the PEG continuous phase. We name this unique assembly process as “phase-guided assembly”. Polymersomes of asymmetric bilayer membrane possess a series of advantages over “symmetric” polymer bilayer vesicles previously reported. The asymmetric bilayer created a different chemical environment of the interior to which proteins were encapsulated highly efficiently (up to 90%) by thermodynamically favored partition. Probably due to the thermodynamic preference, erythropoietin (EPO) encapsulated in this system showed a well-preserved bioactivity in cell proliferation assay. The core of the polymersomes may be cross-linked to enhance their mechanical strength. Phase-guided assembly system and asymmetric bilayer polymersomes demonstrated in this study may serve the high demands for delivering nucleotide and protein medicines and other biological applications.