Control of molecular and supramolecular properties is used to obtain a new advanced hybrid material based on Prussian blue nanoparticles (PB NPs). This hybrid material is obtained through a self-assembled Layer-by-Layer (LbL) approach combining the advantageous features of β-cyclodextrin (β-CD) polysaccharides, PB NPs and poly(allylamine hydrochloride) from electrostatic interaction between the deposited layers. Transmission electronic microscopy images suggested that PB NPs were protected by β-CD polysaccharides that prevent the aggregation phenomena. In addition, as confirmed by scanning electronic microscopy images, it was found that PB NPs are organized in microcubic supramolecular like structures via a mesoscale self-assembly process. Interestingly, the 3-bilayer {PAH/PB-CD} film exhibited a higher density of microcubic structures and a high electrochemical response with PB sites available for redox reactions at a supramolecular level. By utilizing fewer bilayers and consequently less material deposition, the formed {PAH/PB-CD} multilayer films of a tuneable conductivity can be expected to have interesting future applications for host-guest like dependent electrochemical biosensing designs.