α-Helix peptides bearing one unit of γ-cyclodextrin (γ-CD) and one or two units of pyrene in their side chain have been designed and synthesized as a novel system of peptide dimerization. The dimer was formed based on inclusion of two pyrene units in the γ-cyclodextrin cavity, and the dissociation of the peptide dimer was induced by external stimulant molecules (guests). Circular dichroism studies showed that the cyclodextrin–peptide hybrids (CD–peptides) maintain relatively rich α-helix content (61 to 81%), which was not affected by the guest inclusion into the cyclodextrin cavity. Fluorescence studies revealed that these CD–peptides form stable association dimers, which exhibit excimer emission. The intensity of the pyrene excimer emission decreased upon addition of the guest molecules, indicating dissociation of the CD–peptide dimers to the monomer CD–peptides. These CD–peptide hybrids bind structurally similar steroidal compounds with remarkable discrimination. These results demonstrate that this molecule-assembly system, based on host–guest chemistry, could be applicable to the development of molecule-responsive materials or a molecule-sensing system.