Epoxy-terminated polydimethylsiloxanes (E-PDMSs) of different molecular weight Mn were proved to undergo inclusion complexation into the inner cavity of β-cyclodextrin (β-CD), resulting in polyrotaxanes (PRots). The dethreading of the macrocycle was prevented by blocking the siloxane chain with a bulky substituent derived from 4-aminophenyltriphenyl methane (APhTPhM). As revealed by thermogravimetric analysis, differential scanning calorimetry, scanning electron microscopy (SEM), wide-angle X-ray diffraction and statistical analysis of SEM images, the thermal properties and the morphology of polyrotoxanes are dependent upon Mn, β-CD/E-PDMS molar ratio and the presence of free β-CD in the complexes.