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The association of guest molecules in aggregates of a modified cyclodextrin, 6I-(cholest-5-en-3α-ylamido)succinylamido-6I-deoxy-per(2,6-di-O-methyl)cyclomaltoheptaose, was investigated for four different sparingly water-soluble molecules and an anionic surfactant (sodium dodecyl sulfate). The binding and spatial proximities were demonstrated for these different guests by NMR (nuclear Overhauser effect pumping). By use of small-angle X-ray and neutron scattering, the microstructure at the supramolecular scale of the modified cyclodextrin micelle, i.e., aggregation number, charge, and volume, in the presence of guest molecules could be defined. From the analysis of the variations in terms of aggregation number and charge induced by the presence of the guest molecule, the cavity of the cyclodextrin was shown to remain available for solubilization and transport. The stability and specificity of the mixed micelle involving target molecules demonstrated here make these hydrophobically modified cyclodextrins good candidates as molecular carriers.