Dexamethasone (DEX) is a glucocorticoid commonly used as an in vitro osteogenic inducer of mesenchymal stem/progenitor cells (abbreviated MSCs). However, several studies investigating the effects of glucocorticoids on bone regeneration through systemic injections have demonstrated negative impacts of the drugs at high concentration on the healing of hard tissues. These contrasting evidences suggest that application of glucocorticoids should be limited to low dosages but at the same time a long enough treatment period is preferred, which prompted us to evaluate the effects of different local release systems of DEX on MSC differentiation and bone repair. Two types of DEX-loaded β-cyclodextrin (CD) complexes, including CD/DEX and CD/AD-DEX, were fabricated via host-guest interactions and characterized by FTIR, 1H-NMR, MS-ESI, and UV-vis. The results demonstrated that these CD-based assemblies released DEX in differentiated profiles, with CD/DEX releasing significantly faster than CD/AD-DEX. Although CD/DEX were slightly more powerful than CD/AD-DEX in inducing rat bone marrow MSCs (rBMSCs) into osteogenic lineage in vitro, CD/AD-DEX was advantageous over CD/DEX in accelerating bone regeneration over a time period of 4 weeks in a rat tibia defect model. The results suggest that DEX-loaded assemblies via host-guest interactions are flexible in modulating DEX release patterns and have great potential in bone tissue engineering.