A kind of novel magnetic hollow spheres was prepared by encapsulating magnetofluid into polymeric hollow spheres. Polymeric hollow nanospheres were constructed by self-assembly of rod-coil complexes, in which the rod-like segments were formed by inclusion of α-cyclodextrins (α-CD) and grafting poly(ethylene glycol) (PEG) chains of chitosan-graft-PEG (CS-g-PEG). Structural characteristics of CS-g-PEG/α-CD hollow spheres were investigated in detail by NMR, XRD, TEM, etc. Furthermore, those hollow spheres showed a pH responsive property which induced a considerable change of their radius. Magnetofluid was physically entrapped into the empty domain while hollow spheres were formed, it was found that the hollow spheres can encapsulate large quantities of magnetofluid and the encapsulated magnetofluid still possess magnetic responsiveness properties. We expect that this strategy may be served as a novel and more straightforward approach to obtain magnetic hollow spheres for biomedical application.