We report Xe-129 NMR experiments showing that a Fe4L6 metallosupramolecular cage can encapsulate xenon in water with a binding constant of 16 M-1. The observations pave the way for exploiting metallosupramolecular cages as economical means to extract rare gases as well as Xe-129 NMR-based bio-, pH, and temperature sensors. Xe in the Fe4L6 cage has an unusual chemical shift downfield from free Xe in water. The exchange rate between the encapsulated and free Xe was determined to be about 10 Hz, potentially allowing signal amplification via chemical exchange saturation transfer. Computational treatment showed that dynamical effects of Xe motion as well as relativistic effects have significant contributions to the chemical shift of Xe in the cage and enabled the replication of the observed linear temperature dependence of the shift.