In extremely anisotropic cuprate superconductors a lattice of stacks of pancake vortices nucleates when a magnetic field is applied perpendicular to the copper oxide layers, while an orthogonal lattice of highly elliptical Josephson vortices forms when the applied field is parallel to the layers. Under tilted magnetic fields these sublattices can interact in complex ways to form systems of vortex chains and composite vortex lattices. Here we have used high-resolution scanning Hall microscopy (SHM) to map the rich tilted-field vortex phase diagram in an underdoped Bi2Sr2CaCu2O8+δ single crystal. We find that the Josephson vortex lattice spacing has an unexpected non-monotonic dependence on the pancake vortex density reflecting the delicate balance between attractive and repulsive vortex interactions, and actually undergoes a field-driven structural transformation with increasing out-of-plane fields. We also identify particularly stable composite structures composed of vortex chains separated by an integer number of rows of interstitial pancake vortex stacks and are able to establish the precise evolution of vortex-chain phases as the out-of-plane field is increased at small in-plane fields. Our results are in good semi-quantitative agreement with theoretical models and could enable the development of vortex ratchets and lenses based on the interactions between Josephson and pancake vortices.