A novel Fe3O4@Au nanocatalyst was successfully self-assembled induced by host-guest interaction between ferrocene and beta-cyclodextrin. This self-assembly system consisted of Fe3O4 nanoparticles modified with ferrocene (Fe3O4@Fc) and gold nanoparticles coated with beta-cyclodextrin (Au@CD). The self-assembly process between these two kinds of nanoparticles was extremely fast, and the self-assembled Fe3O4@Au nanoparticles showed high catalytic activity for the reduction of 4-nitrophenol. Fe3O4@Au nanoparticles demonstrated good magnetic recoverability and high conversion (>98%) after 10 successive cycles. The stable uniform distribution of gold nanoparticles on the surface of Fe3O4 played an important role in the enhancing catalytic activity. Meanwhile, beta-cyclodextrin promoted the catalytic performance since it could tether the 4-nitrophenol to the gold nanoparticles. Furthermore, this self-assembly system exhibited good store stability even for 6 months and could be controllably redox-responsive disassembled. This facile self-assembly method could serve as inspiration in catalysis, biosensor, bioseparation, SERS detection, and so on.