We have studied the transient stages in the formation of unilamellar vesicles with millisecond time resolution. The self-assembly was initiated by rapid mixing of equimolar amounts of anionic and zwitterionic micelles and the transient micellar entities were probed by time-resolved small-angle x-ray scattering. Within the mixing time, original micelles transformed to disklike micelles which evolved further to a critical size and then closed to form monodisperse unilamellar vesicles within a second. Subsequent growth led to an unexpected broadening of the vesicle size distribution.