Natural tissues, such as bone, tendon, and muscle, have well-defined hierarchical structures, which are crucial for their biological and mechanical functions. However, mimicking these structural features still remains a great challenge. In this study, we use ice-templated assembly and UV-initiated cryopolymerization to fabricate a novel kind of composite hydrogel which has both aligned macroporous structure at micrometer scale and a nacre-like layered structure at nanoscale. Such hydrogels are macroporous, are thermoresponsive, and exhibit excellent mechanical performance (they are tough and highly stretchable), attractive properties that have a significant impact on the wide applications of composite hydrogels, especially as tissue-engineering scaffolds. The fabrication method in this study including freeze-casting and cryopolymerization can also be applied to other materials, which makes it promising for designing and developing smart and multifunctional composite hydrogels with hierarchical structures.