Investigations of host‐guest interactions at water‐oil (w/o) interfaces are limited in single emulsion systems producing simple self‐assembled objects with limited uses. Here, within hierarchically ordered water‐in‐oil‐in‐water (w/o/w) multiple emulsion droplets, interfacial self‐assembly of (polynorbornene‐graft‐polystyrene)‐block‐(polynorbornene‐graft‐polyethylene glycol) (PNPS‐b‐PNPEG) bottlebrush block copolymers can be precisely controlled through host‐guest interactions. α‐Cyclodextrin (α‐CD) in the aqueous phase can thread onto PEG side chains of the bottlebrush surfactants adsorbed at the w/o interface, leading to dehydration and collapsed chain conformation of the PEG block. Consequently, spherical curvature of the w/o internal droplets increases with the increased asymmetry of the bottlebrush molecules, producing photonic supraballs with precisely tailored structural parameters as well as photonic bandgaps. This work provides a simple but highly effective strategy for precise manipulation of complex emulsion systems applicable in a variety of applications, such as photonic pigments, cosmetic products, pesticides, artificial cells, etc.