Controlled self-assembly of amphiphilic cyclodextrin is always a challenging topic in the field of supramolecular chemistry, since it provides the spontaneous generation of well-defined aggregation with functional host sites with great potential applications in drug-carrier systems. beta-Cyclodextrin modified with an anthraquinone moiety (1) was successfully synthesized. In the aqueous solution, 1 was found able to self-assemble into vesicles, which was characterized in detail by TEM, SEM, EFM, and DLS. The formation mechanism of the vesicles was suggested based on the 2D ROESY and UV-vis results, and further verified by the MD simulation. Subsequently, the stimuli response property of the vesicles, including to Cu2+ and H+, was also studied. The vesicles can efficiently load Paclitaxel inside the membrane with functional macrocyclic cavities available, which can further carry small molecules, such as ferrocene. The vesicles loading with Paclitaxel have remarkable anticancer effects. This work will provide new strategy in drug-carrier systems and tumor treatment methods.