Supramolecular self-assembly has been demonstrated to be a useful approach to developing new functional nanomaterials. In this work, we used a cobalt Prussian blue analogue (PBA, Co₃[Co(CN)₆]₂) compound and a β-cyclodextrin (CD) macrocycle to develop a novel host-guest PBA-CD nanomaterial. The preparation of the functional magnetic material involved the self-assembly of CD molecules onto a PBA surface by a co-precipitation method. According to transmission electronic microscopy results, PBA-CD exhibited a polydisperse structure composed of 3D nanocubes with a mean edge length of 85 nm, which became shorter after CD incorporation. The supramolecular arrangement and structural, crystalline and thermal properties of the hybrid material were studied in detail by vibrational and electronic spectroscopies and X-ray diffraction. The cyclic voltammogram of the hybrid material in a 0.1 mol·L⁻¹ NaCl supporting electrolyte exhibited a quasi-reversible redox process, attributed to Co²⁺/Co³⁺ conversion, with an E_1/2 value of 0.46 V (vs. SCE), with higher reversibility observed for the system in the presence of CD. The standard rate constants for PBA and PBA-CD were determined to be 0.07 and 0.13 s⁻¹, respectively, which suggests that the interaction between the nanocubes and CD at the supramolecular level improves electron transfer. We expect that the properties observed for the hybrid material make it a potential candidate for (bio)sensing designs with a desirable capability for drug delivery.