Two poly(3,4-ethylenedioxythiophene) polyrotaxanes (PEDOT∙TMe-βCD and PEDOT∙TMe-γCD) end-capped by pyrene (Py) were synthesized by oxidative polymerization of EDOT encapsulated into TMe-βCD or TMe-γCD cavities with iron (III) chloride (FeCl3) in water and chemically characterized. The effect of TMe-βCD or TMe-γCD encapsulation of PEDOT backbones on the molecular weight, thermal stability, and solubility were investigated in depth. UV–vis absorption, fluorescence (FL), phosphorescence (PH), quantum efficiencies, and lifetimes in water and acetonitrile were also explored, together with their surface morphology and electrical properties. Furthermore, dynamic light scattering was used to study the hydrodynamic diameter (DH) and z-potential (ZP-ζ) of the water soluble fractions of PEDOT∙TMe-βCD and PEDOT∙TMe-γCD. PEDOT∙TMe-βCD and PEDOT∙TMe-γCD exhibited a sharp monodisperse peak with a DH of 55 ± 15 nm and 122 ± 32 nm, respectively. The ZP-ζ value decreased from −31.23 mV for PEDOT∙TMe-βCD to −20.38 mV for PEDOT∙TMe-γCD, indicating that a negatively charged layer covers their surfaces. Surface pressure–area isotherms and Brewster angle microscopy (BAM) studies revealed the capability of the investigated compounds to organize into sizeable and homogeneous 2D supramolecular assemblies at the air–water interface. The control of the 2D monolayer organization through the thermodynamic parameters of PEDOT∙TMe-βCD and PEDOT∙TMe-γCD suggests potential for a wide range of optoelectronic applications.