There has been increasing interest in constructing affinity-based drug delivery systems via different non-covalent interactions. Herein we report a host-guest interaction-based strategy to develop effective drug delivery systems using cyclodextrin-containing copolymers. Hydrophilic copolymers with one polyethylene glycol block and another block containing either α-cyclodextrin or β-cyclodextrin were synthesized. Using poly(β-benzyl l-aspartate) and pyrene as model guest compounds, we demonstrated the nanoparticle formation by host-guest interaction-mediated self-assembly. When an antioxidant and anti-inflammatory drug Tempol was used, the formation of well-defined spherical nanoparticles and therapeutic loading can be simultaneously realized. The obtained nanotherapy showed affinity-controlled drug release. In vitro cell culture experiments suggested that the host-guest nanotherapy exhibited desirable antioxidant and anti-inflammatory effects in macrophages. In a mouse model of an inflammatory disease ulcerative colitis, the orally administered host-guest nanoparticle can be effectively accumulated in the inflamed colonic tissue. Oral treatment of mice bearing colitis with the nanotherapy led to significantly improved efficacy in comparison with free drugs. A good in vivo safety profile was also observed for the developed host-guest nanotherapy. Accordingly, these types of affinity nanoparticles based on CD-containing copolymers can function as effective nanoplatforms for targeted treatment of a plethora of diseases.