Polypseudorotaxanes are polymer chains threaded by molecular rings that are free to unthread; these "pearl-necklace" can self-assemble further, leading to higher-order supramolecular structures with interesting functionalities. In this work, the complexation between α-cyclodextrin (α-CD), a cyclic oligosaccharide of glucopyranose units, and poly(ethylene glycol) (PEG) grafted to silica nanoparticles was studied. The threading of α-CD onto the polymeric chains leads to their aggregation into bundles, followed by either the precipitation of the inclusion complex or the formation of a gel phase, in which silica nanoparticles are incorporated. The kinetics of threading, followed by turbidimetry, revealed a dependence of the rate of complexation on the following parameters: the concentration of α-CD, temperature, PEG length (750, 4000, and 5000 g mol), whether the polymer is grafted or free in solution, and the density of grafting. Complexation is slower, and temperature has a higher impact on PEG grafted on silica nanoparticles compared to PEG free in solution. Thermodynamic parameters extracted from the transition-state theory showed that inclusion complex formation is favored with grafted PEG compared to free PEG and establishes a ratio of complexation of five to six ethylene oxide units per cyclodextrin. The complexation yields, determined by gravimetry, revealed that much higher yields are obtained with longer chains and higher grafting density. Thermogravimetric analysis and Fourier transform infrared spectroscopy on the inclusion complex corroborate the number of macrocycles threaded on the chains. A sol-gel transition was observed with the longer PEG chain (5k) at specific mixing ratios; oscillatory shear rheology measurements confirmed a highly solid-like behavior, with an elastic modulus G' of up to 25 kPa, higher than that in the absence of silica. These results thus provide the key parameters dictating inclusion complex formation between cyclodextrin and PEG covalently attached to colloidal silica and demonstrate a facile route toward soft nanoparticle gels based on host-guest interactions.