In recent years supramolecular structures built from macrocyclic compounds have attracted tremendous interest due to the unique properties derived from dynamic self-assembly. Our study proposes a two-step mechanism to form a supramolecular hydrogel system: (1) the formation of micelles, and (2) micelle association with α-cyclodextrin (α-CD) due to threading of PEGMA in the α-CD cavity, forming inclusion complexes. Using this mechanism, a supramolecular hydrogel made from a tri-component copolymer PLLA/DMAEMA/PEGMA and α-CD was fabricated for the first time and characterized in terms of its structural, morphological, and rheological properties.