Recent advances in host–guest chemistry have significantly influenced the construction of supramolecular soft biomaterials. The highly selective and non‐covalent interactions provide vast possibilities of manipulating supramolecular self‐assemblies at the molecular level, allowing a rational design to control the sizes and morphologies of the resultant objects as carrier vehicles in a delivery system. In this Focus Review, the most recent developments of supramolecular self‐assemblies through host–guest inclusion, including nanoparticles, micelles, vesicles, hydrogels, and various stimuli‐responsive morphology transition materials are presented. These sophisticated materials with diverse functions, oriented towards therapeutic agent delivery, are further summarized into several active domains in the areas of drug delivery, gene delivery, co‐delivery and site‐specific targeting deliveries. Finally, the possible strategies for future design of multifunctional delivery carriers by combining host–guest chemistry with biological interface science are proposed.