Hydrophobic luteolin (LUT) was conjugated to the oligomeric chain of methoxypoly(ethylene glycol) (mPEG) to form novel amphiphilic mPEG₁₉₀₀–LUT conjugates. Then mPEG₁₉₀₀–LUT, by using its adjacent 3′ and 4′ hydroxyl groups, were assembled with magnetic Fe₃O₄ particles in an aqueous solution to form mPEG₁₉₀₀–LUT–Fe₃O₄ conjugates, which formed hybrid Fe₃O₄ particles. The spectral properties and micellization of the conjugates were studied. Both mPEG₁₉₀₀–LUT and mPEG₁₉₀₀–LUT–Fe₃O₄ conjugates were able to self-assemble into stable supramolecular hydrogels through α-cyclodextrin (α-CD) in water, and their gelation times and temperatures were determined. The hydrogels displayed typical porous structures, which are suitable for drug delivery. Therefore, 5-fluorouracil (5-FU) was loaded into the formed hydrogels to control its release in vitro. The drug release observations showed that introducing Fe₃O₄ particles into the hydrogel improved the sustained release effect.