We synthesized two thermally-responsive miktoarm star polymers in which poly(N-isopropylacrylamide) (PNIPAM) or poly(oligo(ethylene glycol) methacrylate) (POEGMA) served as the thermosensitive building blocks. Firstly, linear methoxypolyethylene glycol (PEG) with β-cyclodextrin (β-CD) bearing about six chlorines as a terminal (PEG-CD-Clx, x ≈ 6) was synthesized. Then, the thermally-responsive miktoarm star polymer, PEG-CD-PNIPAMx or PEG-CD-POEGMAx, was achieved by atom transfer radical polymerization using N-isopropylacrylamide or oligo(ethylene glycol) methacrylate as the monomer and PEG-CD-Clx as the macroinitiator. The obtained miktoarm star polymers were comprised of a β-CD core, a PEG arm and about six PNIPAM or POEGMA arms. Furthermore, the thermally-responsive behaviors of the miktoarm star polymers were investigated by a combination of UV-vis spectroscopy, DLS, TEM, 1H NMR, fluorescence spectroscopy and DCS. Above the LCST of the polymers in aqueous solution, PEG-CD-PNIPAMx can self-assemble into nano-structures with PNIPAM as the core and PEG as the corona, whereas PEG-CD-POEGMAx self-assembled into nano-architectures possessing hydrophilic surfaces which were constructed by the hydrated oligo(ethylene glycol) side chains of the POEGMA arms. The hydrophobic moiety of the nano-architectures was formed by the methacrylate backbone and the dehydrated oligo(ethylene glycol) side chains of POEGMA. Furthermore, it was found that the thermally-induced dehydration of PEG-CD-PNIPAMx is completely different from that of PEG-CD-POEGMAx. For the former, the dehydration occurs abruptly and intensively near the LCST of PEG-CD-PNIPAMx, whereas the dehydration for the latter is gradual and continuous throughout the whole temperature rise. The architecture of the nano-assemblies formed by PEG-CD-PNIPAMx or PEG-CD-POEGMAx was affected by the thermally-induced dehydration of the polymers.