The self-assembly of alpha-cyclodextrin (alpha-CD) mixed with a fluorocarbon surfactant, perfluorononanoic acid (PFNA), in aqueous solution was studied. Interestingly, the 1:1 inclusion complex, PFNA@ alpha-CD, was verified to form by H-1 nuclear magnetic resonance measurement. Also as the building block, the PFNA@alpha-CD complex was further self-assembled into worm-like micelles under lower concentrations while hydrogels were self-assembled under higher concentrations. The hydrogels were composed of unilamellar vesicles with polydisperse size, which were clearly detected by freeze-fracture transmission electron microscopy measurements. Besides, the vesicle hydrogels showed high viscoelasticities and a substantial elastic characteristic. Also as revealed by the results of Fourier transform infrared measurements, the driving force for the vesicle and worm-like micelle formation was the hydrogen bonding between alpha-CD molecules. Then, these vesicles were densely packed to form hydrogels. As far as we know, the self-assembly of CDs and fluorocarbon surfactants based on host-guest inclusion in aqueous solution has been limitedly reported. Our work successfully constructed hydrogels consisting of vesicles through the self-assembly of the alpha-CD/PFNA complex for the first time and will also provide a better understanding and enrich the fundamental research of the self-assembly behavior of the CD/fluorosurfactant complex.