Here we present the first synthesis of a [3]rotaxane with two dumbbell components threaded through a single gamma-cyclodextrin macrocycle. This synthesis is carried out in two steps: first one dumbbell is synthesized threaded through the macrocycle to give a [2]rotaxane, then a second dumbbell is synthesized through the remaining cavity of the [2]rotaxane. We have synthesized a hetero- [3]rotaxane with one stilbene and one cyanine dye threaded through gamma-cyclodextrin, which exhibits quantitative energy transfer between the two encapsulated dyes. The stilbene [2]rotaxane intermediate in this synthesis has a remarkably high affinity for suitably shaped hydrophobic guests in aqueous solution, facilitating the synthesis of [3]rotaxanes and suggesting possible applications in sensors.