The cross-linking density influences the physicochemical properties of cyclodextrin-based nanosponges (CD-NSs). Although the effect of the cross-linker type and content on the NSs performance has been investigated, a detailed study of the cross-linking density has never been performed. In this contribution, nine ester-bridged NSs based on β-cyclodextrin (β-CD) and different quantities of pyromellitic dianhydride (PMDA), used as a cross-linking agent in stoichiometric proportions of 2, 3, 4, 5, 6, 7, 8, 9, and 10 moles of PMDA for each mole of CD, were synthesized and characterized in terms of swelling and rheological properties. The results, from the swelling experiments, exploiting Flory–Rehner theory, and rheology, strongly showed a cross-linker content-dependent behavior. The study of cross-linking density allowed to shed light on the efficiency of the synthesis reaction methods. Overall, our study demonstrates that by varying the amount of cross-linking agent, the cross-linked structure of the NSs matrix can be controlled effectively. As PMDA βCD-NSs have emerged over the years as a highly versatile class of materials with potential applications in various fields, this study represents the first step towards a full understanding of the correlation between their structure and properties, which is a key requirement to effectively tune their synthesis reaction in view of any specific future application or industrial scale-up.