Preparation of mono-vinyl substituted cyclodextrin (CD) monomers is particularly challenging due to the presence of numerous equally reactive hydroxyl groups on CD, which limits the synthesis of CD-pendant polymers with well-defined structure, high CD density and flexible functionality. In this work, a new mono-methacrylate substituted cyclodextrin (MCD) was successfully prepared under mild reaction conditions. Thus, well-defined hydrophilic diblock copolymer poly(ethylene glycol)-b-poly(cyclodextrin) (PEG-b-PCD) can be easily synthesized via atom transfer radical polymerization of MCD from poly(ethylene glycol) macroinitiator. The block copolymer was able to include a variety of guest molecules and self-assembled into advanced nanostructures due to the synergistic effect of CD moieties. By altering the type of guest molecules and the ratio of PEG-b-PCD to guests, the self-assembled nanostructures showed different size and morphology. The strategy developed in this study provides a facile and general method for the design of nanostructures based on well-defined CD-pendant polymers, and these nanostructures may find applications in the fields of drug and gene delivery, self-healing materials, catalysts and coatings.