Glycidyl methacrylate (GMA) was grafted to cellulose nanocrystals (CNCs) using hydroquinone resulting in a crosslinkable nanoparticle. 2-Hydroxyethyl methacrylate (HEMA) was used to polymerize this nanoparticle to obtain a polymeric structure with a bridging CNC structure to which cyclodextrin (CD) was attached in order to better capture hydrophobic biomolecules. X-Ray Microscopy and nuclear magnetic resonance methods provided the main characterization data proving the successful modification process. This CD-modified nanocomposite adsorbent was used for the removal of cholesterol and low-density lipoprotein for the first time. Adsorption performance in a continuous system was similar to 99% for both cholesterol and low-density lipoprotein with agreement between experimental data and mathematical models performed. Overall, results indicate that cyclodextrin modified poly(HEMA-GMA-g-CNC) is a promising material for use as an adsorbent for biological and biomedical applications.