Abstract Heat‐set supramolecular gels exhibited totally opposite phase behaviors of dissolution upon cooling and gelation on heating. They are commonly discovered by chance and their rational design remains a great challenge. Herein, a rational design strategy is proposed to realize heat‐set supramolecular hydrogelation through regulation of the hydrophilic–lipophilic balance of the system. A newly synthesized amphiphile hydrogelator with pyrene embedded in its lipophilic terminal can self‐assemble into a hydrogel through a heating and cooling cycle. However, the host–guest complex of the gelator and hydrophilic γ ‐cyclodextrin ( γ ‐CyD) results in a sol at room temperature. Thus, heat‐set hydrogelation is realized from the sol state in a controllable manner. Heat‐set gelation mechanism is revealed by exploring critical heat‐set supramolecular gelation and the related findings provide a general strategy for developing new functional molecular gels with tunable hydrophilic–lipophilic balance.