We report the synthesis of a hydrophilic copolymer with one polyethylene glycol (PEG) block and one β-cyclodextrin (β-CD) containing block by a “click” reaction between azido-substituted β-CD and propargyl flanking copolymer. 1H NMR study suggested a highly efficient conjugation of β-CD units by this approach. The obtained copolymer was used as a host macromolecule to construct assemblies in the presence of hydrophobic guests. For assemblies containing a hydrophobic polymer, their size can be simply adjusted by simply changing the content of hydrophobic component. By serving as a guest molecule, hydrophobic drugs can also be loaded accompanying the formation of nanoparticles, and the drug payload is releasable. Therefore, the copolymer synthesized herein can be employed as a carrier for drug delivery.