In this work the host-guest chemistry of α-cyclodextrin has been investigated in order to mediate the phase transfer from organic solvent to water of blue emitting CdS nanocrystals. Oleic acid capped CdS nanocrystals have been synthesized by using colloidal chemistry routes in non-coordinating solvents and effectively transferred from hexane phase in aqueous solution. The transfer has been mediated by the formation of an inclusion complex between nanocrystal surfactant and α-cyclodextrins. The optical properties of the nanocrystal water solution, the effect of cyclodextrin concentration and the nanocrystal size on the phase transfer efficiency have been investigated. Finally a layer-by-layer assembling procedure of CdS nanocrystals complexed by cyclodextrins has been exploited to set up a supramolecular hierarchical multilayer system with high level of structural complexity.