In artificial photosynthesis, molecule/semiconductor hybrids combine the merits of the high activity of molecular catalysts and the high stability of semiconductor light absorbers. We report here a host-guest strategy for hybrid photoanode fabrication, where phosphonate-derivatized cyclodextrins (p-CDs) as hosts were anchored on the surface of a tungsten oxide (WO₃) film, and molecular catalysts as guests were self-encapsulated into the cavities of p-CDs in either aqueous or organic media. By choosing an admantanyl cobaloxime complex (Co1) as a molecular water oxidation catalyst, the resulting WO₃|p-CD|Co1 photoanode exhibited high photoelectrochemical (PEC) activity and stability for water oxidation due to the unexpected efficient charge separation and the strong affinity between p-CD and catalyst. In addition, the WO₃|p-CD was identified to be a versatile platform for catalyst loading, when a 4-hydroxy-2,2,6,6-tetramethylpiperidine 1-oxyl (TEMPO) derivative was employed as the guest molecule, the conversion yield of PEC alcohol oxidation to aldehyde was dramatically increased.