alpha-Cyclodextrins (alpha-CDs) have the ability to form inclusion complexes with poly(ethylene oxide) (PEO) polymer chains. These pseudo-polyrotaxanes (PPRs) can be obtained by quenching an alpha-CD/PEO mixture in water from 70 degrees C down to a lower temperature (typically in the range from 5 to 30 degrees C) thanks to favorable interactions between alpha-CD cavities and PEO chains. Moreover, starting from a liquid alpha-CD/PEO mixture at a total mass fraction of 15% w/w at 70 degrees C, the formation of PPRs with time at a lower temperature induces a white physical gel with time, and phase separation is observed. We established that PPR molecules are exclusively found in the precipitated phase although unthreaded alpha-CD molecules and unthreaded PEO chains are in the liquid phase. At 30 degrees C, the physical gel formation is much slower than at 5 degrees C. At 30 degrees C, we established that, in a first step, alpha-CDs thread onto PEO chains, forming PPR molecules which are not in good solvent conditions in water. At a higher length scale, rapid aggregation of the PPR molecules occurs, and threaded alpha-CD-based nanocylinders form (cylinder length L 5.7 nm and cylinder radius R = 4.7 nm). At a higher length scale, alpha-CD-based nanocylinders associate in a Gaussian way, engendering the formation of precipitated domains which are responsible for the high turbidity of the studied system. At the end of this first step (i.e., after 20 min), the system still remains liquid and the PPRs are totally formed. Then, in a second step (i.e., after 150 min), the system undergoes its reorganization characterized by a compacity increase of the precipitated domains and forms a physical gel. We found that PPRs are totally formed after 20 min at 30 degrees C and that the system stays in a nongel state up to 150 min. This opens new perspectives regarding the PPR chemical modification: between these two characteristic times, we can easily envisage an efficient chemical modification of the PPR molecules in water, as for instance,in end-capping reaction leading to the synthesis of polyrotaxanes.