Methacrylate-modified β-cyclodextrin (β-CD) and methyl methacrylate (MMA) have been radically copolymerized to obtain hydrophobic CD copolymers. The water-insoluble copolymers are able to form highly stable inclusion complexes with anions of ionic liquids. Surprisingly, the inclusion of the anions in the CD cavity results in a significant change of thermal and solution properties. Furthermore, it can be shown that the structure of the ionic liquid anions influences the coil structure of the copolymers. The obtained results could be proven by means of microcalorimetry, differential scanning calorimetry, and dynamic light scattering.