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Photothermal agents (PTAs) based on organic small-molecule dyes emerge as promising theranostic strategy in imaging and photothermal therapy (PTT). However, hydrophobicity, photodegradation, and low signal-to-noise ratio impede their transformation from bench to bedside. In this study, a novel supramolecular PTT formulation by a stimuli-responsive macrocyclic host is prepared to overcome these obstacles of organic small-molecule PTAs. Methods: Sulfonated azocalix[4]arene (SAC4A) was synthesized as a hypoxia-responsive macrocyclic host. Taking IR780 as an example, the supramolecular nanoformulation IR780@SAC4A was constructed by grinding method, and its solubility, photostability, and photothermal conversion were evaluated. The hypoxia tumor-selective imaging and supramolecular PTT of IR780@SAC4A were further evaluated in vitro and in vivo. Results: IR780@SAC4A is capable of enhancing the solubility, photostability, and photothermal conversion of IR780 significantly, which achieve this supramolecular formulation with good imaging-guided PTT efficacy in vitro and in vivo. Conclusions: This study demonstrates that the supramolecular PTT strategy is a promising cancer theranostic method. Moreover, this supramolecular approach is applicative to construct kinds of supramolecular PTAs, opening a general avenue for extending smart PTT formulations.