The first example of core cross-linked star (CCS) polyrotaxane was prepared using the poly(ϵ-caprolactone) (PCL) CCS three-dimensional (3D) scaffold. The 3D CCS polymer was firstly prepared through the “arm-first” approach. Then, the “arms” of the resultant PCL CCS polymer were threaded with α-cyclodextrins (α-CDs). The threaded α-CDs were permanently locked by the “click” reaction of terminal alkyne functionalities of the star polymers with the azide-functionalized end caps to afford the CCS polyrotaxanes. All analytical results confirm the formation of the CCS polyrotaxanes and reveal their characteristics, including fluorescence under UV, a channel-type crystalline structure, a two-step thermal decomposition, and a unique core-shell structure in great contrast to the polymer precursors.