Self-assembled nanohydrogels based on hydrophobically modified polysaccharides have been extensively studied due to their wide potential applications as drug delivery systems. In the present study, we developed and characterized self-assembling nanohydrogels based on sonicated gellan gum chains. Prednisolone (Pred), a poorly water soluble anti-inflammatory drug, was chemically conjugated to the carboxylic groups of gellan (Ge–Pred) and it was the hydrophobic moiety responsible for the self-assembling process. Ge–Pred was characterized by proton nuclear magnetic resonance spectra (1H-NMR) and the cellular cytotoxicity was assessed by the MTS assay. The self-aggregation behavior in aqueous media of Ge–Pred was evaluated by the pyrene fluorescence technique and the nanohydrogels (NHs), prepared by bath sonication in water, were analyzed by dynamic light scattering (DLS) and ζ-potential. The average size of the nanohydrogels was about 300 nm and their ζ-potential values were negative. Our results showed that Ge–Pred NHs are cytocompatible, that the drug is bioavailable and, consequently, they represent an interesting and innovative carrier for prednisolone.