We have studied the dimer formation of a series of mono- and disubstituted anthracenes (1-methylanthracene, 2-methylanthracene, 9-methylanthracene, and 9,10-dimethylanthracene) in the gamma-cyclodextrin nanocavity, using electronic absorption and fluorescence spectroscopic techniques, as well as quantum chemical calculations. We have measured fluorescence spectra of anthracene derivatives in ethanol and gamma-CD aqueous solution, and the excimer-like fluorescence was observed only in gamma-CD aqueous solution. The fluorescence excitation spectra observed with the excimer-like fluorescence showed an exciton splitting in the S(3) <- S(0) electronic transition of anthracene pi-electron system. This splitting indicates that a self-assembled dimer was formed in gamma-CD. The structures of dimers were estimated from the exciton splitting energies with the help of Lennard-Jones potential calculations including coulombic interactions.