A novel photo-responsive microgel (Azo-MG) was successfully prepared by grafting azobenzene moieties onto a poly(N-isopropylacrylamide-co-acrylic acid) microgel. Azo-MG can form a supramolecular complex with α-cyclodextrin (α-CD) through the host–guest interactions between azobenzene pendant groups and α-CD. Both Azo-MG and its supramolecular complex exhibit photocontrollable shifting of the volume phase transition temperature (VPTT). After UV irradiation, Azo-MG exhibited an increased VPTT, however, the supramolecular complex (Azo-MG with α-CD) exhibited a decreased VPTT. Near VPTT, the size of Azo-MG and its supramolecular complex can be regulated reversibly with UV and visible light. The as-prepared microgel has great potential as a building block in the designing of photo-responsive materials.