We report the construction of novel temperature-responsive assemblies based on a double hydrophilic block copolymer (consisting of a PEG block and a β-cyclodextrin-containing block, PEG-b-PCD) and poly(N-isopropylacrylamide) (PNIPAm). Thus formed nano-assemblies exhibit a spherical morphology and have a temperature-responsive loose core. The driving force for the formation of these assemblies was found to be the inclusion complexation interaction between the hydrophobic cavity of β-cyclodextrin and the isopropyl group of PNIPAm. The particle size of these assemblies changed reversibly in response to the external temperature change. The particle size also changed with the PNIPAm/PEG-b-PCD weight ratio. A model hydrophobic drug (indomethacin) was loaded into these assemblies with a high efficiency. An in vitro release study showed that the payload could be released in a sustained manner after an initial burst release. The release rate could be switched between high and low in an ON/OFF fashion by temperature. These results demonstrate that the nano-assemblies have high potential for applications in controlled drug delivery and biomedicine when temperature responsiveness is desired.