Two end-decorated homopolymers, methoxy polyethylene glycol-ferrocene (mPEG-Fc) and poly(N-isopropylacrylamide)-β-cyclodextrin (PNIPAM-β-CD), were further orthogonally self-assembled into stable micelles in aqueous solution by controlling the temperature of the solution via terminal host-guest interactions. Because of the H2O2 cleavable CD/Fc connection and thermoresponsive PNIPAM, an H2O2 and thermo dual-controlled drug release based on this system was also achieved. Interestingly, the cytotoxicity evaluation of mPEG-Fc/PNIPAM-β-CD indicated good biocompatibility. Compared with free doxorubicin, the doxorubicin-loaded supramolecular micelles exhibited equal cellular proliferation inhibition toward A549 cells. This supramolecular complex is thus anticipated to serve as a promising new type of alternative drug-delivery system.