Supramolecular assemblies have attracted a great attention, due to their intriguing topologies and their application in various fields such as nanodevices, sensors, molecular switches, and drug delivery systems. In this study, we prepared the monosubstituted insulin with poly(ethylene glycol) (PEG, MW about 2200) and its cyclodextrin (CyD) polypseudorotaxanes. The pegylated insulin formed polypseudorotaxanes with alpha- and gamma-CyDs, by inserting one PEG chain 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 plasma levels of the pegylated insulin after subcutaneous administration of the gamma-CyD polypseudorotaxane to rats were significantly prolonged, accompanying an increase in the area under plasma concentration-time curve, which was clearly reflected in the prolonged hypoglycemic effect. The results indicated that the pegylated insulin/CyD polypseudorotaxanes can work as a sustained drug release system, and the polypseudorotaxane formation with CyDs may be useful as a sustained drug delivery technique for other pegylated proteins and peptides.