The hyaluronic acid (HA) conjugate bearing $alpha$-cyclodextrin ($alpha$-CD) was synthesized as the potential carrier of poly(ethylene glycol) (PEG)-drug conjugates. The HA conjugate was prepared by the reaction between the carboxylic acid of HA and the primary amine of $alpha$-CD in the presence of 1-ethyl-3-(3-dimethylaminopropyl) carbodiimide and 1-hydroxybenzotriazole. The chemical structure of the conjugate was confirmed using $^1H$ NMR and FT-IR spectroscopy. The conjugate could form nano-sized particles in the presence of PEG by forming the inclusion complexes between $alpha$-CD at the backbone of HA, which was demonstrated using electrophoretic light scattering and field emission transmission electron microscopy. It is anticipated that this novel kind of nanoparticles can serve as a useful delivery system for PEGylated drugs.