In this review article, a brief summary on the development of supramolecular polymers constructed through self-sorting host–guest interactions is presented. On the basis of self-sorting host–guest interaction with high fidelity between various macrocyclic hosts and their complementary guests, the facile construction of diverse supramolecular polymers with multiple macrocyclic hosts inserted in the backbones has been successfully realized under suitable polymerization conditions. Classified according to the different kind of macrocyclic hosts and their privileged guests, four types of supramolecular polymers derived from various self-sorting host–guest interactions will be briefly reviewed. The focus of this review will be on the design strategies, structural features, and functionalities of these supramolecular polymers.