A modular approach for the formation of degradable capsules using polyrotaxanes (PRXs) is described. The PRXs consist of α-cyclodextrin (αCD) and poly(ethylene glycol) (PEG), which are both biologically benign and the main degradation products of the capsules. The PRXs were equipped with three alkyne groups at their ends and could be successfully grafted to azide-functionalized silica particles (2.76 μm diameter) using azide–alkyne click chemistry. The assembled PRXs were then cross-linked using a degradable linker. The cross-linked structure was sufficiently robust to allow the formation of capsules after dissolving the template silica particles. The formation of capsules of ca. 2 μm diameter was verified by optical microscopy, TEM, and AFM imaging. The capsules were loaded with the chemotherapy drug doxorubicin (DOX) by conjugating it to the threaded αCDs via their free OH groups, while maintaining degradability of the capsules. Alkyne moieties at the surface of the cross-linked PRX architecture were available for further functionalization of the capsules, as is demonstrated by clicking on fluorescent PEG moieties. The DOX-loaded capsules were degraded within 90 min at 37 °C upon exposure to a 5 mM solution of glutathione in water.