Understanding the host–guest interactions of nonpolar molecules with cyclodextrins is critical for advancing supramolecular chemistry and drug delivery applications. In this work, we investigated three types of pyrene derivatives bearing hydrophilic substituents, such as ethylene glycol or ammonium groups, to construct doubly threaded pseudo-rotaxanes with γ-cyclodextrin (γ-CD). These complexes were formed via hydrophobically driven self-assembly in aqueous solution. The formation and stability of each pyrene–γ-CD complex were systematically investigated using a combination of experimental techniques and theoretical modeling. Our results reveal that the complexation behavior is governed by a delicate balance between hydrophobic interactions and aqueous solubility. We also demonstrated that these complexes can be used to synthesize mechanically interlocked polymer networks with distinctive mechanical properties, highlighting their potential in the design of advanced soft materials.