In this work, host–guest supramolecular hydrogels were prepared from poly(N-isopropylacrylamide) (pNIPAm) microgels utilizing electrostatic and host/guest self-assembly. First, pNIPAm microgels bearing a poly(acrylic acid) (pAAc) shell were coated with positively charged β-cyclodextrin polymers. Addition of adamantane-substituted dextrans (Dex-Ada) allowed us to establish interparticle connections through β-cyclodextrin-adamantane (βCD-Ada) inclusion complex formation, and thus to prepare hierarchical hydrogels. Under the conditions of hydrogel formation, close contact between the microgels was ensured. To the best of our knowledge, this is the first example of doubly crosslinked microgels prepared by noncovalent crosslinking via host–guest interactions. The prepared macrogels were studied with rheology, and fast mechanical response to temperature variation was found. Furthermore, the hydrogels exhibit fully reversible temperature-induced gel–sol transition at the physiological temperature range (37–41 °C), due to the synergetic effect between shrinking of the microgels and dissociation of βCD-Ada crosslinks at higher temperatures. This opens up attractive prospects of their potential use in biomedical applications.