Thermoresponsive nanogels (tNGs) are promising candidates for dermal drug delivery. However, poor incorporation of hydrophobic drugs into hydrophilic tNGs limits the therapeutic efficiency. To address this challenge, β‐cyclodextrins (β‐CD) are functionalized by hyperbranched polyglycerol serving as crosslinkers (hPG‐βCD) to fabricate βCD‐tNGs. This novel construct exhibits augmented encapsulation of hydrophobic drugs, shows the appropriate thermal response to dermal administration, and enhances the dermal penetration of payloads. The structural influences on the encapsulation capacity of βCD‐tNGs for hydrophobic drugs are analyzed, while concurrently retaining their efficacy as skin penetration enhancers. Various synthetic parameters are considered, encompassing the acrylation degree and molecular weight of hPG‐βCD, as well as the monomer composition of βCD‐tNGs. The outcome reveals that βCD‐tNGs substantially enhance the aqueous solubility of Nile Red elevating to 120 µg mL−1 and augmenting its dermal penetration up to 3.33 µg cm−2. Notably, the acrylation degree of hPG‐βCD plays a significant role in dermal drug penetration, primarily attributed to the impact on the rigidity and hydrophilicity of βCD‐tNGs. Taken together, the introduction of the functionalized β‐CD as the crosslinker in tNGs presents a novel avenue to enhance the efficacy of hydrophobic drugs in dermatological applications, thereby offering promising opportunities for boosted therapeutic outcomes.