We have demonstrated the growth of a unique wurtzite (WZ) GaAs nanowire (NW) with a zinc blende (ZB) GaAsSb insert by Au-assisted molecular beam epitaxy. An abrupt interface from the WZ GaAs phase to the ZB GaAsSb phase was observed, whereas an intermediate segment of a 4H polytype GaAs phase was found directly above the ZB GaAsSb insert. A possible mechanism for the different phase transitions is discussed. Furthermore, low temperature microphotoluminescence (micro-PL) measurements showed evidence of quantum confinement of holes in the GaAsSb insert.