Heparin, a powerful anticoagulant used for the prophylaxis of both surgical and medical thrombosis, was covalently incorporated into a supramolecular hydrogel network. For this attempt, heparin was first conjugated with amino-terminated poly(ethylene glycol) methyl ether by carbodiimide chemistry and then used to interact with α-cyclodextrin in aqueous solution. The rheological measurements and X-ray diffraction analyses were used to characterize the hydrogel formation. It was found that the gelation kinetics and hydrogel properties could be modulated by changing the amount of conjugated heparin or α-cyclodextrin. By circular dichroism analyses and in vitro release experiments, resultant hydrogel material was found to have a great potential as an injectable matrix for the encapsulation and sustained release of model protein drug (bovine serum albumin). By in vitro release, blood clotting, and hemolysis experiments, such a supramolecular hydrogel was also confirmed to have a controlled release profile for conjugated heparin and shows good anticoagulant and blood-compatible properties.