A photo‐responsive supramolecular assembly was prepared using sulfato‐β‐cyclodextrin (SCD) as the macrocyclic host and pyridinium‐modified anthracene (Anpy) as the guest molecule, and its assembly and photolysis behaviors were fully investigated by mass spectrometry, UV‐vis, dynamic light scattering, scanning electron microscopy, transmission electronic microscopy, Fourier transform infrared spectroscopy and powder X‐ray diffraction, etc. Without SCD, the disruption of polycyclic aromatic structure in Anpy was relatively slow via a photo‐oxidation reaction under UV irradiation at 365 nm. Interestingly, the photo‐oxidation rate significantly increased 5.2 times after the supramolecular assembly of Anpy with SCD. This result will provide a supramolecular method for the efficient elimination of polycyclic aromatic hydrocarbons.