Supramolecular hydrogels were instantaneously fabricated by mixing aqueous solutions of $alpha$-cyclodextrins ($alpha$-CDs) and amphiphilic methoxy (polyethylene glycol) (MPEG)-$varepsilon$-caprolactone (CL) oligomer, which was synthesized via the ring-opening polymerization of the CL monomer using low-molecular-weight MPEG ($M_n$ of MPEG=2,000 g/mol) as an initiator. The supramolecular structure of the hydrogels was revealed by X-ray diffraction (XRD) analyses. Rheological studies of the hydrogels revealed an elastic character when the number of CL units in the oligomer was more than 2, and the obtained hydrogels showed high storage modulus but relatively low shearing viscosity due to the low-molecular-weight character of the oligomer, which was more preferable for use as an injectable delivery system. The physical properties of the hydrogels could be modulated by controlling the chain morphology and concentration of the oligomers, as well as the feed molar ratio of the oligomer to $alpha$-CD. The components of the supramolecular hydrogels are biocompatible and can readily be eliminated from the body. These features render the supramolecular hydro gels suitable as drug delivery systems and tissue engineering scaffolds.