In an effort to construct smart artificial glutathione peroxidase (GPx) featuring high catalytic activity in an efficient preparation process, an artificial microgel GPx (PPAM-ADA-Te) has been prepared using a supramolecular host-guest self-assembly technique. Herein, 6,6'-telluro-bis(6-deoxy-β-cyclodextrin) (CD-Te-CD) was selected as a tellurium-containing host molecule, which also served as the crosslinker for the scaffold of the supramolecular microgel. And an adamantane-containing block copolymer (PPAM-ADA) was designed and synthesized as a guest building block copolymer. Subsequently, PPAM-ADA-Te was constructed through the self-assembly of CD-Te-CD and PPAM-ADA. The formation of this self-assembled construct was confirmed by dynamic light scattering, NMR, SEM and TEM. Notably, PPAM-ADA-Te not only exhibits a significant temperature responsive catalytic activity, but also features the characteristic saturation kinetics behaviour similar to that of a natural enzyme catalyst. We demonstrate in this paper that both the hydrophobic microenvironment and the crosslinker in this supramolecular microgel network played significant roles in enhancing and altering the temperature responsive catalytic behaviour. The successful construction of PPAM-ADA-Te not only provides a novel method for the preparation of microgel artificial GPx with high catalytic activity but also provides properties suitable for the future development of intelligent antioxidant drugs.