All-inorganic perovskite quantum dots (CsPbX3 QDs) with bright photoluminescence are suitable for application in optoelectronic field, but their extreme instability and insolubility in aqueous solution limit their development in other fields. Herein, for the first time, we encapsulated CsPbBr3 QDs using sulfobutylether-β-cyclodextrins to form nanocomposite (CsPbBr3@SBE-β-CD nanocomposite) with high water solubility and stability via a host-guest interaction strategy, in which the PL intensity remained above 100% of the initial value after 3 h storage in water. Hydrogen sulfide (H2S) is known to be an important mediator of diverse cellular functions in health and in disease, which is important to develop a selective and portable detection method for H2S. The obtained CsPbBr3@SBE-β-CD nanocomposite was employed to develop a photothermal sensor for quantitative detection of H2S using a thermometer as signal readout. Specifically, the obtained CsPbBr3@SBE-β-CD nanocomposite was used as the photothermal probe while H2S acted as a switch of the photothermal probe, and the photothermal sensor was triggered by the reaction between H2S and CsPbBr3@SBE-β-CD nanocomposite. Notably, the naked eye and fluorescence spectrophotometer could also be the signal readout for this strategy, and their detection range and limit of detection were not better than those of the proposed photothermal sensor. On the basis of this H2S-triggered photothermal sensor, H2S was successfully detected at a concentration as low as 5.0 µM in organs of adult zebrafish at room temperature for 10 min. Such innovative strategy enables new opportunity for the development of affordable assays, especially as point-of-care testing in low-resource settings.