Bio-based cyclodextrins (CDs) are a common research object in supramolecular chemistry. The special cavity structure of CDs can form supramolecular self-assemblies such as vesicles and microcrystals through weak interaction with guest molecules. The different forms of supramolecular self-assemblies can be transformed into each other under certain conditions. The regulation of supramolecular self-assembly is not only helpful to understand the self-assembly principle, but also beneficial to its application. In the present study, the self-assembly behavior of epoxy-β-cyclodextrin (EP-β-CD) and mixed anionic and cationic surfactant system (sodium dodecyl sulfate/ dodecyltrimethylammonium bromide, SDS/DTAB) in aqueous solution was studied. Morphological and particle size characterization found that the SDS/DTAB@EP-β-CD complex, as the basic building unit, self-assembled into worm-like micelles at lower temperatures and vesicles at higher temperatures. Nuclear magnetic resonance (NMR) and Fourier transform infrared spectroscopy (FT-IR) analysis revealed that the driving force for the formation of vesicles and worm-like micelles was the hydrogen bonds between EP-β-CD molecules, while water molecules played an important role in promoting vesicle formation between SDS/DTAB@EP-β-CD units. Herein, the mechanism of the morphologic transformation of SDS/DTAB@EP-β-CD supramolecular aggregates induced by temperature was elucidated by exploring the self-assembly process, which may provide an excellent basis for the development of delivery carriers.