The monosubstituted insulin with poly(ethylene glycol) (PEG, MW about 2200) formed polypseudorotaxanes with alpha- and gamma-cyclodextrins (CyDs), by inserting one PEG chain of the pegylated insulin in the alpha-CyD cavity and two PEG chains in the gamma-CyD cavity. The pegylated insulin/alpha- and gamma-CyD polypseudorotaxanes were less soluble in water and the release rate of the drug decreased in the order of drug alone > the gamma-CyD polypseudorotaxane > the alpha-CyD polypseudorotaxane. The subcutaneous administration of the pegylated insulin/gamma-CyD polypseudorotaxane in rats significantly sustained plasma glucose levels with an enhanced hypoglycemic effect. The results indicated that the pegylated insulin/CyD polypseudorotaxanes can work as a sustained drug release system and the polypseudorotaxane formation may be useful as a sustained drug delivery technique for pegylated proteins and peptides.