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AI research is being challenged with ensuring that autonomous agents learn to behave ethically, namely in alignment with moral values. A common approach, founded on the exploitation of Reinforcement Learning techniques, is to design environments that incentivise agents to behave ethically. However, to the best of our knowledge, current approaches do not theoretically guarantee that an agent will learn to behave ethically. Here, we make headway along this direction by proposing a novel way of designing environments wherein it is formally guaranteed that an agent learns to behave ethically while pursuing its individual objectives. Our theoretical results develop within the formal framework of Multi-Objective Reinforcement Learning to ease the handling of an agent's individual and ethical objectives. As a further contribution, we leverage on our theoretical results to introduce an algorithm that automates the design of ethical environments.