The tetrafluoroterephthalonitrile cross-linked beta-cyclodextrin was first subjected to the carboxylation reaction, followed by the deposition of the Fe3O4 nanoparticles on its surface to obtain the novel magnetic Fe3O4 nanoparticle/beta-cyclodextrin-based polymer composites (CDP-Fes). The successful preparation of the CDP-Fes was confirmed by scanning electron microscopy, transmission electron microscopy, two-dimensional EDS mapping, zeta potential measurement, vibrating sample magnetometry, wide-angle X-ray diffraction, thermogravimetric analysis, Brunauer-Emmett-Teller surface area analysis, and Fourier transform infrared spectroscopy. The adsorption behaviors of one of the CDP-Fes-namely, 0.6FeCT-0.96 beta-CD-for the Methylene Blue (MB) dye were investigated in detail. The 0.6FeCT-0.96 beta-CD not only possessed a high adsorption capacity of 565 mg/g for the MB but also exhibited several advantages, such as the magnetic recycling ability with quick response, the reusing ability, and the selective adsorption ability. Furthermore, it was found that the pH value of the MB solution could influence the adsorption capacity of the 0.6FeCT-0.96 beta-CD, and the MB adsorption process of the 0.6FeCT-0.96 beta-CD obeyed the Langmuir model and the pseudo-second-order model.