The grafting of a cholesterol derivative onto a methylated cyclodextrin through a spacer arm produces an amphiphilic compound exhibiting high solubility in water. This new molecule was fully characterized in terms of chemical and optical purities by high resolution NMR and mass spectrometry. An analysis of its behavior in aqueous solution using surface tension measurements and light, small-angle X-ray, and neutron scattering techniques proved that it self-assembles into monodisperse spherical micelles with an average aggregation number of 24. The micelles can be described as two-shell objects, the cyclodextrin moieties being exposed to the aqueous medium, making them prone to include guest molecules in the cavities. These objects can therefore be of high interest for the targeting of biologically important molecules and especially for the delivery of drugs.