Size exclusion chromatography coupled with light scattering (SEC/MALS), dynamic light scattering (DLS), steady‐state and time‐resolved fluorescence, as well as molecular dynamics (MD) simulations are used to study the behavior of several poly(ethylene glycol) (PEG)/α‐cyclodextrins (αCDs) polyrotaxanes (PRs) in solution. The number of CD units in any of the PRs studied is always smaller than that required to saturate the PEG chains. These PRs seem to aggregate in dimethyl sulfoxide (DMSO) solution. The presence of hairpins in the non‐saturated PRs contributes to diminishing their expected large dimensions. Intra‐ and inter­molecular interactions and forces responsible for hairpins and aggregation are investigated.