Thin self-assembled nanocomposite films of an asymmetric diblock copolymer and nanoparticles are fabricated. The morphologies of the films of the diblock copolymer poly(styrene-block-n-butyl methacrylate), P(Sd-b-BMA), with different volume fractions of large magnetite Fe(3)O(4) nanoparticles are studied before and after annealing. Neutron reflectometry reveals remarkable evidence that confining asymmetric copolymer to a limit of two layers forces the film, after the annealing, to form a mixed cylindrical-lamellar two-layer structure. This complex morphology is very stable and is preserved after the incorporation of nanoparticles up to 10% volume fraction. The other striking result is that the monodispersed nanoparticles with affinity to the polystyrene (PS) domain and with a size of 10 nm, which is close to the size of the PS chains, are assembled by the diblock copolymer matrix, so the distribution of the nanoparticles is reduced solely to the PS domain of the film. Our studies demonstrate that for asymmetric block copolymers in thin film geometry the self-assembly is strongly influenced by the interfacial and surface energies of the blocks and substrate.