Disclosed are an arteannuin cyclodextrin conjugate and a preparation method thereof. The present invention relates to the field of pharmaceutical synthesis. The arteannuin cyclodextrin conjugate in the present invention uses cyclodextrin as a carrier, and molecules of an arteannuin compound are connected by using an amido bond formed between a carboxyl group of the molecules of the arteannuin compound and an amido group of the cyclodextrin modified by the amido group. Compared with arteannuin and dihydroartemisinin, the arteannuin cyclodextrin conjugate in the present invention has more hydrophilic active groups, and has good biocompatibility, better water solubility and high bioavailability. In another aspect, the arteannuin cyclodextrin conjugate in the present invention has anticancer target feature, and specifically for colorectal cancer cells, the arteannuin cyclodextrin conjugate can effectively enter the body of a patient, gather around target cancer cells at a top priority, and selectively induce rectum cancer cells of a human body to die, thereby improving pharmacodynamic effects and reducing toxic or side effects. The method for preparing the arteannuin cyclodextrin conjugate in the present invention features simple operations, easy availability of materials and moderate reaction conditions, and can be used for manufacturing a great amount of the arteannuin cyclodextrin conjugate.