A new donor–acceptor type liquid-crystalline copolymer, poly[3-(6-(cyanobiphenyoxy)thiophene)-alt-4,7-(benzothiadiazole)], P3HbpT-BTD, was designed via copolymerization of liquid-crystalline electron-donating thiophene units and electron-accepting benzothiadiazole (BTD) units. The nanostructure and photoelectric properties of the copolymer under different thermal treatment conditions were systematically investigated. Studies of the relationship between the annealing conditions and the nanostructures of the copolymer revealed that the cyano-biphenyl mesogenic units could induce the copolymer chains into a well ordered lamella structure upon annealing at the liquid crystalline state temperature. When the hybrid films of P3HbpT-BTD/ZnO nanoparticles (NPs) were annealed at a temperature below or above the mesophase temperature region, less ordered copolymer chains resulted in an undeveloped interpenetrating network and caused great aggregation of ZnO NPs. Most strikingly, the hybrid film annealed at the liquid-crystalline state temperature (180 °C) achieved a well-dispersed and highly oriented nanoscale assembled nanoparticle region. The spontaneous self-organization of P3HbpT-BTD enhanced the crystallinity and orientation of the ZnO NPs. Therefore, the resulting nanoscale phase separation of the hybrid films led to well-ordered percolated networks. Hybrid bulk heterojunction photovoltaic devices based on the copolymer P3HbpT-BTD and ZnO NPs were fabricated under different annealing treatments. A maximum power conversion efficiency of 1.98% was achieved upon annealing at the mesophase temperature (180 °C).