The present invention discloses a composite material with electron-donating and electron-accepting property is disclosed, wherein the composite material comprises a plurality of nanoparticles with electron-accepting property, a plurality of diblock copolymers, and a bi-continuous structure. Each diblock copolymer comprises a first polymer chain with electron-donating property and a second polymer chain connected with the mentioned nanoparticles. Additionally, the bi-continuous structure containing a first domain and a second domain, wherein the bi-continuous structure is self-assembled from the diblock copolymers, wherein the first polymer chain is in the first domain, and the second polymer chain and the plurality of nanoparticles are in the second domain. Furthermore, this invention also discloses methods for forming the composite material and their applications.