Summary: Host‐guest complexes of α‐cyclodextrin (α‐CD) and methylated β‐cyclodextrin (Me‐β‐CD) with diacrylates and dimethacrylates of butan‐1,4‐diol and hexan‐1,6‐diol at varying stoichiometries were studied. The complexes were analyzed by means of 1H NMR, two‐dimensional ROESY spectroscopy and Job's curves, which clearly revealed the discriminating influence of the two hosts towards complex formation. The corresponding polymers were obtained using a redox initiator system in water. Thermal analysis and IR measurements of the polymers provided evidence for the existence of a polyrotaxane architecture.