Grazing incidence X-ray scattering (GIXS) is used to characterize the morphology of poly(3-hexylthiophene) (P3HT)–phenyl-C61-butyric acid methyl ester (PCBM) thin film bulk heterojunction (BHJ) blends as a function of thermal annealing temperature, from room temperature to 220 °C. A custom-built heating chamber for in situ GIXS studies allows for the morphological characterization of thin films at elevated temperatures. Films annealed with a thermal gradient allow for the rapid investigation of the morphology over a range of temperatures that corroborate the results of the in situ experiments. Using these techniques the following are observed: the melting points of each component; an increase in the P3HT coherence length with annealing below the P3HT melting temperature; the formation of well-oriented P3HT crystallites with the (100) plane parallel to the substrate, when cooled from the melt; and the cold crystallization of PCBM associated with the PCBM glass transition temperature. The incorporation of these materials into BHJ blends affects the nature of these transitions as a function of blend ratio. These results provide a deeper understanding of the physics of how thermal annealing affects the morphology of polymer–fullerene BHJ blends and provides tools to manipulate the blend morphology in order to develop high-performance organic solar cell devices.