The formation of supramolecular inclusion compounds (pseudopolyrotaxanes) produced by cyclodextrins and polymers can be monitored through turbidimetry. In this paper, we studied the kinetics of the threading of linear poly(ethylene glycol) chains of different molecular weights and of a four-arm star-like polymer as a function of temperature. The main thermodynamic parameters are extracted. The aggregation and precipitation of pseudopolyrotaxanes are described in terms of the Avrami-Erofe'ev model, which provides relevant information on the mechanism of these processes. SAXS and TGA experiments confirm the structure and hydration of the final products obtained from the different polymers. A new hypothesis for the interaction between pseudopolyrotaxanes that leads to aggregation and precipitation, based on the spatial dielectric anisotropy, is proposed.