A series of unprecedented supramolecular complexes of covalently modified Anderson‐type polyoxometalates (POMs) and α‐cyclodextrins (α‐CDs) have been obtained and characterized in solid state by single‐crystal X‐ray diffraction, and in aqueous solution using various techniques including 1H DOSY, 2D NOESY 1H NMR, isothermal titration calorimetry (ITC), and electrospray ionization time‐of‐flight mass spectroscopy (ESI‐TOF‐MS). It has been demonstrated that the supramolecular assembly process can be modulated by different covalent modification modes of the Anderson POMs, giving rise to a new type of POM/α‐CD complexes featuring organic‐inorganic pseudo‐rotaxane structures, which are in good contrast to those of POM/γ‐CD with poly‐rotaxane type structures. Moreover, it is delighted to find that these pseudo‐rotaxanes of POM/α‐CD exhibit stable chirality in aqueous solution, which has not been accomplished in previously reported POM/γ‐CD assemblies.