Poly(ethylene glycol) (PEG) functionalized multiwalled carbon nanotubes (MWNTs), prepared by coupling of isocyanate-decorated MWNTs with PEG of different molecular weights (M-n = 400, 1000, 2000, and 4000 g/mol), were used to form inclusion complexes (ICs) with alpha-cyclodextrin (alpha-CD) through the grafted PEG chains being threaded with alpha-CD rings in aqueous solution. The FTIR, TGA, UV-Vis, and scanning electron microscopy (SEM) techniques were employed to characterize the formed ICs. The ICs formation time was monitored by UV-Vis spectroscopy, and the results indicated that the inclusion interaction between MWNT surface anchored PEG chains and alpha-CD was dependent on the molecular weight of PEG. The grafted PEG with molecular weights of 4000 and 2000 g/mol, respectively, can form ICs with alpha-CD, while the grafted PEG with molecular weights of 1000 and 400 g/mol, respectively, are difficult to form ICs with alpha-CD due to the steric hindrance from nanotubes. The stoichiometry value determined by TGA indicated that the ratio of ethylene glycol (EG) unit to alpha-CD in the resulted ICs was about 15:1. In addition, the morphology of the ICs was observed by SEM and transmission electron microscopy (TEM).