A transparent cellulose‐based functional hydrogel dressing is prepared by hydrogen bonding interaction and encapsulation technique, which can uniformly disperse hydrophobic drugs and has the advantages of simple preparation, good biocompatibility, fast self‐healing ability, and slow drug release. Menthol, which is insoluble and irritating, is used as a model drug, encapsulated by ethylenediamine‐modified cyclodextrin, and then loaded onto a hydrogel dressing. The introduction of modified cyclodextrin not only improves the stability and solubility of menthol, but also makes the hydrophobic menthol uniformly dispersed in hydrophilic hydrogel dressing, and the large amount of hydrogen bonding can enable rapid hydrogel generation. In addition, the microstructure, swelling, biocompatibility and drug loading properties of the hydrogel are investigated, and the results show that the hydrogel has good prospects for application in the field of wound dressings.