Water pollution by dyes is a huge environmental problem; there is a necessity to produce new decolorization methods that are effective, cost-attractive, and acceptable in industrial use. Magnetic cyclodextrin polymers offer the advantage of easy separation from the dye solution. In this work, the β-CD-EPI-magnetic (β-cyclodextrin-epichlorohydrin) polymer was synthesized, characterized, and tested for removal of the azo dye Direct Red 83:1 from water, and the fraction of non-adsorbed dye was degraded by an advanced oxidation process. The polymer was characterized in terms of the particle size distribution and surface morphology (FE-SEM), elemental analysis (EA), differential scanning calorimetry (DSC), thermal gravimetric analysis (TGA), infrared spectrophotometry (IR), and X-ray powder diffraction (XRD). The reported results hint that 0.5 g and pH 5.0 were the best conditions to carry out both kinetic and isotherm models. A 30 min contact time was needed to reach equilibrium with a qmax of 32.0 mg/g. The results indicated that the pseudo-second-order and intraparticle diffusion models were involved in the assembly of Direct Red 83:1 onto the magnetic adsorbent. Regarding the isotherms discussed, the Freundlich model correctly reproduced the experimental data so that adsorption was confirmed to take place onto heterogeneous surfaces. The calculation of the thermodynamic parameters further demonstrates the spontaneous character of the adsorption phenomena (ΔG° = −27,556.9 J/mol) and endothermic phenomena (ΔH° = 8757.1 J/mol) at 25 °C. Furthermore, a good reusability of the polymer was evidenced after six cycles of regeneration, with a negligible decline in the adsorption extent (10%) regarding its initial capacity. Finally, the residual dye in solution after treatment with magnetic adsorbents was degraded by using an advanced oxidation process (AOP) with pulsed light and hydrogen peroxide (343 mg/L); >90% of the dye was degraded after receiving a fluence of 118 J/cm2; the discoloration followed a pseudo first-order kinetics where the degradation rate was 0.0196 cm2/J. The newly synthesized β-CD-EPI-magnetic polymer exhibited good adsorption properties and separability from water which, when complemented with a pulsed light-AOP, may offer a good alternative to remove dyes such as Direct Red 83:1 from water. It allows for the reuse of both the polymer and the dye in the dyeing process.