Multi-micelle aggregation (MMA) mechanism is widely acknowledged to explicate large spherical micelles self-assembly, but the process of MMA during self-assembly is hard to observe. Herein, a novel kind of strong, regular microspheres fabricated from self-assembly of amphiphilic anthracene-functionalized beta-cyclodextrin (CD-AN) via Cu(I)-catalyzed azide-alkyne click reactions is reported. The obtained CD-AN amphiphiles can self-assemble in water from primary core-shell micelles to secondary aggregates with the diameter changing from several tens nm to around 600-700 nm via MMA process according to the images of scanning electron microscopy, transmission electron microscopy, and atomic force microscopy as well as the dynamic light scattering measurements, followed by further crosslinking through photo-dimerization of anthracene. What merits special attention is that such photo-crosslinked self-assemblies are able to disaggregate reversibly into primary nanoparticles when changing the solution conditions, which is benefited from the designed regular structure of CD-AN and the rigid ranging of anthracene during assembly, thus confirming the process of MMA.