The study of exosomes has great significance for cancer diagnosis and prognosis, in which damage-free isolation of exosomes is a critically important step due to their extremely low concentration in body fluids. Herein, immunoaffinitive superparamagnetic nanoparticles (IS-NPs) were successfully constructed by combining antibodies with superparamagnetic nanoparticles through host-guest interactions between β-cyclodextrin (β-CD) and 4-aminoazobenzene (AAB). Exosomes in cell-culture supernatants or body fluids can be efficiently captured by IS-NPs and then mildly eluted by competitive host molecules, α-CD. Approximately 80% of the exosomes were captured by the IS-NPs from the model samples containing varied concentrations of exosomes (1011-107 exosomes per mL). After elution, the release efficiency of the captured exosomes was as high as 86.5%, as calculated from the extracted RNA content. A comparison between the exosomes isolated by our IS-NPs, conventional ultracentrifugation (UC), polyethylene glycol (PEG)-based precipitation, and a commercial kit was conducted to examine the performance of the IS-NP exosome isolation. The particle-to-protein ratio of IS-NP captured exosomes (8.8 ± 1.3 × 109) was eight-fold higher than that of the UC (1.1 ± 0.4 × 109) and more than two-fold that of the PEG-based precipitation (3.7 ± 0.8 × 109) and commercial kit (3.2 ± 0.8 × 109) isolated ones, revealing that IS-NPs yielded more exosomes with higher purity than all the other three approaches. Cellular uptake experiments demonstrated that the exosomes captured by IS-NPs have retained their structural and functional integrities, and their broad applications in biomedical areas could therefore be expected. Promisingly, this host-guest interaction involving immunoaffinity magnetic particle system could offer a new way for fast, high-efficiency and high-purity exosome isolation and elution, further benefitting exosomes' applications in desired areas.