An amphiphilic molecule (Azo-Cl) was successfully synthesized and found to be able to construct reversible spherical vesicles in water. The assembled vesicles disappeared on the addition of equimolar α-cyclodextrin (α-CD) and reformed with UV irradiation due to the exclusion of the cis-azobenzene (Azo) group from α-CD’s hydrophobic cavity. With Vis irradiation, the vesicles were demolished again as α-CD combined with the Azo group again. These reversible photo-responsive vesicles based on the complexation between Azo-Cl and α-CD should be ideal switchable biomimetic membranes or carriers for photo-controllable release of functional matters like drugs.