Size‐selective hydroformylation of terminal alkenes was attained upon embedding a rhodium bisphosphine complex in a supramolecular metal–organic cage that was formed by subcomponent self‐assembly. The catalyst was bound in the cage by a ligand‐template approach, in which pyridyl–zinc(II) porphyrin interactions led to high association constants (>105 m−1) for the binding of the ligands and the corresponding rhodium complex. DFT calculations confirm that the second coordination sphere forces the encapsulated active species to adopt the eecoordination geometry (i.e., both phosphine ligands in equatorial positions), in line with in situ high‐pressure IR studies of the host–guest complex. The window aperture of the cage decreases slightly upon binding the catalyst. As a result, the diffusion of larger substrates into the cage is slower compared to that of smaller substrates. Consequently, the encapsulated rhodium catalyst displays substrate selectivity, converting smaller substrates faster to the corresponding aldehydes. This selectivity bears a resemblance to an effect observed in nature, where enzymes are able to discriminate between substrates based on shape and size by embedding the active site deep inside the hydrophobic pocket of a bulky protein structure.