Poly(N,N-dimethylaminoethyl methacrylate) (PDMAEMA) with a β-cyclodextrin (β-CD) at the chain end was synthesized via atom transfer radical polymerization (ATRP); poly(ε-caprolactone) (PCL) with a −CC– segment and an adamantane (Ada) group at two ends, respectively, was prepared through ring-opening polymerization (ROP), and poly(N-isopropylacrylamide) (PNIPAM) with a −S–C(S)–S– segment, which can be converted into a thiol group, was yielded by reversible addition–fragmentation chain transfer polymerization (RAFT). A supramolecular triblock stimuli-responsive copolymer PNIPAM-b-PCL-b-PDMAEMA having good biocompatibility with PNIPAM and PDMAEMA hydrophilic segments and PCL hydrophobic segment was constructed by thiol–ene Michael addition and host–guest interaction. The triblock copolymer could self-assemble into vesicles and respond to carbon dioxide (CO2) gas and temperature reversibly. Under the stimulation of CO2, the vesicular assemblies swelled obviously; while raising the temperature from 25 to 40 °C, the assemblies displayed a conversion between vesicles and spherical micelles.