Gold nanoparticles (Au NPs) have been widely used in various biomedical applications, including photothermal therapy, imaging and drug delivery. This study deals with the synthesis of new hybrid nanostructure-based drug delivery systems (DDSs), consisting of Au NP cores and polyrotaxane shells (Au NPs@PR). In order to prepare the polyrotaxanes (PRs), cyclodextrin rings were threaded onto poly(ethyleneglycol) (PEG) axes and, then, the pseudopolyrotaxanes were capped by Au NPs. The electrostatic interactions between the Au NPs and the polyrotaxane backbone led to the Au NPs@PR hybrid nanomaterials. Anticancer drugs, such as cisplatin (diamminedichloroplatinum, CDDP) and doxorubicin (DOX) were conjugated to Au NPs@PRs and their controlled release, through the photothermal properties of the Au NP cores, was investigated. To prove the efficacy of the DDSs, they were endocytosed by cancer cells (mouse tissue connective fibroblast adhesive cell line, L929) and the anticancer drugs were released by a photothermal explosion of the Au NPs@PR hybrid nanomaterials. It was found that these systems are able to release drugs and kill cancer cells controllably.