Conjugates of hydrophilic poly (ethylene glycol) and lipophilic small molecules could self-assemble into polymeric nanoparticles for drug delivery. Herein, three lipophilic molecules including pyrenebutyric acid (Pyr), cholic acid and dehydrocholic acid were immobilized on the terminal groups of methoxy PEG (mPEG) to obtain three amphiphilic conjugates. Four model drugs including β-carotene, naphthalene, doxorubicin hydrochloride (DOX‧HCl), and DOX were employed to study the impact of lipophilic structures in the conjugate on the drug loading capacities. The mPEG-Pyr nanoparticles showed the best drug loading capacity as well as encapsulation efficiency due to the intense interactions between payloads and pyrene. Although the loading contents of β-carotene, naphthalene, and DOX‧HCl were lower than 2%, the DOX loading content in DOX/mPEG-Pyr nanoparticles could be high as ca. 10%. The structure of small molecules in conjugates influenced the self-assembly behaviors and stability of drug-loaded nanoparticles. DOX/mPEG-Pyr showed a size of about 200 nm and the best stability in buffer. In vitro drug release study revealed that DOX was sustainedly released from DOX/mPEG-Pyr and the release speed was accelerated at acidic pH due to the improved solubility of DOX. Furthermore, the cellular uptake of DOX/mPEG-Pyr by HepG2 cells was faster than that of DOX/mPEG-Dcha, resulting in more efficient cancer cell inhibition. Our study revealed that the architectures of lipophilic moieties played an important role in the drug loading capacity, stability, and in vitro anticancer efficacy of PEG-small molecule conjugate nanoparticles.