We introduce the design of a thermoresponsive nanoparticle via sacrificial micelle formation based on supramolecular host–guest chemistry. Reversible addition–fragmentation chain transfer (RAFT) polymerization was employed to synthesize well-defined polymer blocks of poly(N,N-dimethylacrylamide) (poly(DMAAm)) (Mn,SEC = 10 700 g mol–1, Đ = 1.3) and poly(N-isopropylacrylamide) (poly(NiPAAm)) (Mn,SEC = 39 700 g mol–1, Đ = 1.2), carrying supramolecular recognition units at the chain termini. Further, 2-methoxy-6-methylbenzaldehyde moieties (photoenols, PE) were statistically incorporated into the backbone of the poly(NiPAAm) block as photoactive cross-linking units. Host–guest interactions of adamantane (Ada) (at the terminus of the poly(NiPAAm/PE) chain) and β-cyclodextrin (CD) (attached to the poly(DMAAm chain end) result in a supramolecular diblock copolymer. In aqueous solution, the diblock copolymer undergoes micellization when heated above the lower critical solution temperature (LCST) of the thermoresponsive poly(NiPAAm/PE) chain, forming the core of the micelle. Via the addition of a 4-arm maleimide cross-linker and irradiation with UV light, the micelle is cross-linked in its core via the photoinduced Diels–Alder reaction of maleimide and PE units. The adamantyl–cyclodextrin linkage is subsequently cleaved by the destruction of the β-CD, affording narrowly distributed thermoresponsive nanoparticles with a trigger temperature close to 30 °C. Polymer chain analysis was performed via size exclusion chromatography (SEC), nuclear magnetic resonance (NMR) spectroscopy, and dynamic light scattering (DLS). The size and thermoresponsive behavior of the micelles and nanoparticles were investigated via DLS as well as atomic force microscopy (AFM).