The insertion in nonionic polymer micelles (Pluronics F127) of seven essential oils and some of the pure compounds that compose them was investigated by complementary differential scanning calorimetry, small-angle X-ray, and neutron scattering (SAXS and SANS). The study revealed various insertion and swelling behaviors for the different oil molecules, an evidence of different interaction mechanisms involved between oils and Pluronic monomers. Thermodynamically, the addition of oil increased the micellization enthalpy due to an enhanced release of water molecules, leading subsequently to a decrease of the critical micellar temperature (CMT). Structurally, with oil, SANS revealed the presence of large aggregates at lower temperature than the CMT for which their size is maximal. Above the CMT, the size decreased and the equilibrium was reached a few degrees after the temperature corresponding to the maximum of the endothermic peak. At 37 °C, the detailed combined SANS and SAXS analysis demonstrated a partial phase separation between the oil and the poly(propylene oxide) core. The hydrophilic stabilizing poly(ethylene oxide) shell remains unchanged.