Limited by preparation time and ligand solubility, synthetic protocols for cyclodextrin‐based metal‐organic framework (CD‐MOF), as well as subsequent derived materials with improved stability and properties, still remains a challenge. Herein, an ultrafast, environmentally friendly, and cost‐effective microwave method is proposed, which is induced by graphene oxide (GO) to design CD‐MOF/GOs. This applicable technique can control the crystal size of CD‐MOFs from macro‐ to nanocrystals. CD‐MOF/GOs are investigated as a new type of supramolecular adsorbent. It can selectively adsorb the dye molecule methylene green (MG) owing to the synergistic effect between the hydrophobic nanocavity of CDs, and the abundant O‐containing functional groups of GO in the composites. Following high temperature calcination, the resulting N, S co‐doped porous carbons derived from CD‐MOF/GOs exhibit a high capacitance of 501 F g−1 at 0.5 A g−1, as well as stable cycling stability with 90.1% capacity retention after 5000 cycles. The porous carbon exhibits good electrochemical performance due to its porous surface containing numerous electrochemically active sites after dye adsorption and carbonization. The design strategy by supramolecular incorporating a variety of active molecules into CD‐MOFs optimizes the properties of their derived materials, furthering development toward the fabrication of zeitgeisty and high‐performance energy storage devices.