Curcumin (CUR) is a hydrophobic polyphenol with anti-inflammatory activity. However, its low water-solubility and poor skin permeation limited its application in the treatment of dermititis. CUR-loaded micelles were prepared using thin membrane hydration method with methoxy poly (ethylene glycol)-block-poly (ε-caprolactone) (MPEG-PCL) as carrier material. The drug loading capacity and encapsulation efficiency were 12.14 ± 0.33 and 93.57 ± 1.67%, respectively. CUR-loaded micelles increased CUR's water-solubility to 1.87 mg/mL, being 1.87 × 106-folds higher than native CUR. CUR-loaded supramolecular hydrogels (CUR-H) were prepared through mixing the CUR-loaded micelles solution with α-cyclodextrin (α-CD) solution. The CUR-H presented continuous dissolution behaviour in aqueous medium for 4.5 h. The ex vivo skin permeation test and confocal fluorescence microscopy evaluation confirmed that CUR-H obviously enhanced skin deposition of CUR without drug flux from skin. In vivo experimental results confirmed that the CUR-H was more effective than dexamethasone ointments against croton oil-induced ear edema. The CUR-H composed of MPEG-PCL and α-CD is a promising formulation for skin inflammatory treatment.