Adsorption is an efficient strategy to remove volatile organic compound (VOC) pollutants. Herein, a series of cyclodextrin-based porous materials (CD-PMs) were fabricated from a dimethylsulfoxide (DMSO)-in-paraffin oil high internal phase emulsion (HIPE) through the step-growth polymerization. Morphologies and rheological behaviors of the original HIPEs were controlled by cyclodextrin’s types and contents. Subsequently, the apparent density, porous structure, and pore throat of the corresponding CD-PMs were variegated under a similar law. The resultant CD-PMs exhibited robust mechanical properties and high adsorption capacities of various VOCs, i.e., toluene and acetaldehyde. Moreover, CD-PMs removed the toluene through a physical adsorption process which could keep a high absorption capacity even after reused for 10 cycles. In the case of acetaldehyde, the CD-PMs absorbed it via chemical adsorption, resulting in a remarkable absorption capacity. These CD-PMs are perfect VOCs adsorbents from renewable resources, meeting the sustainable development.