Let us begin with a simple shape. Navigate to Effect>Distort & Transform>Transform. See the preview. Here, I have used ellipse. Make 12 copies of the ellipse. Then adjust the vertical scale and rotation. Also change the orientation point. Click OK when you are satisfied with the result.
Now, you need to drag the shape into the Graphic Styles palette.
Try to apply this style to other objects too. Draw a new shape and apply new style.
Now let us have a look at the Blends. Expand the styled object (Object>Expand Appearance) and ungroup the shapes. Double-click on the Blend tool and enter a value in the “Specified Steps” field.
Select all the shapes. Press Cmd-Opt-B to make the blend.
Open polygon shape that you see in the middle is the spine of the blend. Draw another path and navigate to Object>Blend>Replace Spine for make the blend follow the new path.
To give a gradient look, pick each ovals using the Direct Selection tool change its colour.
If you want to make the image more interesting then choose the blend and apply your original style to it. Add more repetitions and rotations.