Nanogels are candidate biomaterials for tissue engineering and drug delivery. In the present study, a cholesterol–hyaluronic acid hydrogel was developed, and the pro-inflammatory response of macrophages to the hydrogel was investigated to determine its use in biomedical applications. Hyaluronic acid modified with cholesterol (modification rate: 0–15%) and maleimide (Chol-HA) was synthesized. The Chol-HA nanogel was formed through self-assembly via hydrophobic cholesterol interactions in aqueous solution. The Chol-HA hydrogel was formed through chemical crosslinking of the Chol-HA nanogel via a Michael addition reaction between the maleimide and thiol groups of 4arm−PEGSH. We found that the Chol-HA hydrogels with 5, 10, and 15% cholesterol inhibited the pro-inflammatory response of HiBiT−THP−1 cells, suggesting that the cholesterol contributed to the macrophage response. Furthermore, Interleukin 4 (IL−4) encapsulated in the hydrogel of the Chol-HA nanogel enhanced the inhibition of the inflammatory response in HiBiT-THP-1 cells. These results provide useful insights into the biomedical applications of hydrogels.