A new approach of fabricating supramolecular nanoparticles generated by self-assembly polyrotaxanes for antitumor drug delivery has been reported. Cinnamic-acid-modified poly(ethylene glycol) chains were threaded in α-cyclodextrins to form polyrotaxanes. The polyrotaxanes self-assembled supramolecular nanoparticles. The morphology of the nanoparticles was changed from nanovesicle to micelle after the antitumor drug, doxorubicin, was loaded. The release profile of the drug-loaded nanoparticles was investigated, and it was found that the sustaining release time could last for 32 hours. The drug-loaded nanoparticles were co-cultured with mouse 4T1 breast cancer cells with a drug concentration of 10 μg/mL; the cell survival rate was 3.3% after a 72-hour incubation. In an in vivo study of breast cancer in a mouse model, the drug-loaded nanoparticles were injected in the tail veins of mice with a dose of 5 mg/kg body weight. The tumor inhibition rate of drug-loaded nanoparticles was 53%, which was better than that of doxorubicin hydrochloride. The cardiac toxicity of doxorubicin was decreased greatly after the encapsulation into supramolecular polyrotaxane nanoparticles.