Cyclopentadiene (1) was incorporated as a guest into the cavity of randomly methylated-beta-cyclodextrin (me-beta-CD) as a host, yielding the stable, water compatible cyclopentadiene/me-beta-CD complex (1a). We successfully attempted to use the synthesised complex in a diels-Alder addition with a water-soluble unsaturated polyester (2) derived from poly(ethylene glycol) and maleic anhydride. The reaction yielded a new type of polyseudorotaxane (3). Examination of the polypseudorotaxane (3) and a model inclusion complex of the starting unsaturated polyester with me-beta-CD (2a) showed that cyclodextrins are threaded onto the main chain in both cases. The cyclohexene moiety formed after the Diels-Alder addition does not act as a stopper, a dethreading process being evidenced and discussed.