One-pot mechanochemical synthesis was demonstrated to be an efficient strategy to synthesize host-guest POM⊂rho-ZIF complexes (POM = polyoxometalate; rho-ZIF = zeolitic imidazolate framework with rho topology) with high crystallinity. In this work, the metastable rho-ZIF with large interior cavities and windows was used as host matrix for encapsulating and immobilizing bulky guest molecules with high loading efficiency and chemical stability. As novel catalysts, POM⊂rho-ZIF complexes were found effective for the selective oxidation of a series of sulfides to sulfoxides. Moreover, the heterogeneity of these composite catalysts was confirmed by leaching tests, and they can be recycled at least four times without significant loss of activity.