The hierarchical self-assembly of sugar and surfactant molecules into hollow tubular microstructures was characterized in situ with high resolution small-angle X-ray scattering spanning more than three orders of magnitude of spatial scales. Scattering profiles reveal that aqueous host-guest inclusion complexes self-assemble into multiple equally spaced curved bilayers forming a collection of concentric hollow cylinders. Scattering data can be described by a simple theoretical model of the microtubes. The interlamellar distance was found to be surprisingly large. Moreover, we report that the multi-walled structure of the microtubes swells as the concentration or the temperature is varied.