The invention provides a cyclodextrin-bonded comb-shaped copolymer and a preparation method thereof, belonging to the field of macromolecule synthesis and assembly. The invention is characterized in that cyclodextrin-bonded comb-shaped copolymer is particularly beta-cyclodextrin-bonded ethyl cellulose-graft poly(epsilon-caprolactone) with the general formula thereof being shown in the following figure and the number-average molecular weight thereof being 30,000 to 500,000. The preparation method thereof comprises the following steps: firstly, synthetizing EC-g-PCL (ethyl cellulose-graft poly(epsilon-caprolactone)) by using the cationic ring-opening polymerization method; modifying the EC-g-PCL by an excessive amount of pentynoic acid; modifying the 6-hydroxy of beta-cyclodextrin by toluene sulfonyl chloride (TsCl); substituting sodium azide (NaN3) for the p-tosyl group on the cyclodextrin to obtain cyclodextrin azide; grafting the cyclodextrin azide onto a product B through the click chemical reaction, and dissolving the grafted product B in DMF (N,N-dimethylformamide), dialyzing and filtering to obtain the cyclodextrin-bonded comb-shaped copolymer. The cyclodextrin-bonded comb-shaped copolymer has the advantages of good biocompatibility, biodegradability, biostability and biofunctionality.