Aqueous solutions of R-cyclodextrin (R-CD) and polyethylene glycol (PEG) form interesting complexes, where several R-CD units are penetrated by the linear polymeric PEG chain and produce a so-called "polyrotaxane". This supramolecular structure is stabilized by strong interactions between the R-CD hydrophobic internal cavity and the -CH 2OCH2-moieties of PEG. When cyclodextrins have occupied the whole PEG chain, the polyrotaxanes aggregate and precipitate, forming a thick solid gel. Turbidity measurements at λ ) 400 nm were used to study the threading phenomenon. The temperature of the solution and the composition of the solvent affect the formation of polyrotaxanes in a significant way. We propose a molecular model to explain the experimental findings in terms of a multistep threading process. The Gibbs free energy related to the formation of polyrotaxanes is calculated according to the transition state theory.