Cyclodextrin-covered sudan III (SDIII) and sudan IV (SDIV) dyes produced various nanostructures such as pseudorotaxanes through supramolecular self-assembly, studied by absorption, fluorescence, time-resolved fluorescence, SEM, TEM, FT-IR, DSC, PXRD and 1 H NMR. Solvent study shows that azo-hydrazo tautomer is present in sudan dyes. Absorption and fluorescence spectroscopy data gave evidence for the formation of 1:2 inclusion complexes. Big nanorod ($36 nm) surrounded by small nanorod ($3 nm) was identified in SDIV/a-CD complexes. This confirms that the rigid molecular nanorod aggregates of a-CD and b-CD complexes are formed through the initial formation of smaller nanorods. An unequal morphology noticed in SDIII/CD suggests that the 1:2 inclusion complexes were self-assembled into irregular arrangement. The thermodynamic parameters (DH, DG and DS) of inclusion processes were determined from semi-empirical PM3 calculations.