Nanogels are aqueous dispersions of hydrogel particles formed by physically or chemically cross-linked polymer networks of nanoscale size. Herein, we devised a straightforward technique to fabricate a novel class of physically cross-linked nanogels via a self-assembly process in water involving α-cyclodextrin and a mannose molecule that was hydrophobically modified using an alkyl chain. The alkyl chain-modified mannose was synthesized in five steps, starting with D-mannose. Subsequently, nanogels were formed by subjecting α-cyclodextrin and the hydrophobically modified mannose to magnetic stirring in water. By adjusting the mole ratio between the hydrophobically modified mannose and α-cyclodextrin, nanogels with an average 100–150 nm diameter were obtained. Physicochemical and structural analyses by 1H NMR and X-ray diffraction unveiled a supramolecular and hierarchical mechanism underlying the creation of these nanogels. The proposed mechanism of nanogel formation involves two distinct steps: initial interaction of hydrophobically modified mannose with α-cyclodextrin resulting in the formation of inclusion complexes, followed by supramolecular interactions among these complexes, ultimately leading to nanogel formation after 72 h of stirring. We demonstrated the nanogels’ ability to encapsulate a short peptide ([p-tBuF2, R5]SHf) as a water-soluble drug model. This discovery holds promise for potentially utilizing these nanogels in drug delivery applications.