Herein, a series of polylauryl methacrylate-grafted CDs (CDs-PLMA-m, m denotes the reaction time in hours) with core–shell structure were synthesized via surface-initiated atom-transfer radical polymerization (SI-ATRP). Due to the good solubility of PLMA in hydrocarbons, all of the CDs-PLMA-m can be facilely dispersed in polyalphaolefin (PAO) to form pellucid colloidal dispersions. The reciprocating ball-on-plate sliding friction tests proved that the addition of 3.0 wt % CDs-PLMA-1 markedly lessened the wear and friction of PAO by 53.0 and 40.0%, respectively. The tribological performances of the CDs-PLMA-1 (3.0 wt %)/PAO dispersion did not attenuate sharply when the friction duration extended from 20 to 200 min or the applied load increased from 20 to 100 N, revealing the long lifetime and desirable load-carrying effect of CDs-PLMA-1. Based on the friction tests, the antifriction behavior of CDs-PLMA-1 was related to the synergies between the molecular lubrication of PLMA-1 brushes and the nanolubrication of CDs. Furthermore, the wear analyses disclosed the deposition of tribofilm composed of a lot of CDs-PLMA-1 and a spot of iron oxides, which provided oxidation resistance and an antiwear function. This study established a reliable route to the synthesis of oil-soluble polymer-grafted CDs, enabling high-efficiency lubrication of CDs in PAO.