Self-assembled and covalently linked capillary coatings of cyclodextrin-derived (CD) dendrimer were prepared using photosensitive diazoresin (DR) as a coupling agent. Layer by layer (LBL) self-assembled DR/CD-dendrimer coatings based on ionic bonding was fabricated first on the inner surface of capillary, and subsequently converted into covalent bonding after treatment with UV light through a unique photochemistry reaction of DR. Protein adsorption on the inner surface of capillary was suppressed by the DR/CD-dendrimer coating, and thus a baseline separation of lysozyme (Lys), myoglobin (Mb), bovine serum albumin (BSA) and ribonuclease A (RNase A) was achieved using capillary electrophoresis (CE). Compared with the bare capillary, the DR/CD-dendrimer covalently linked capillary coatings showed excellent protein separation performance with good stability and repeatability. Because of the replacement of highly toxic and moisture sensitive silane coupling agent by DR in the covalent coating preparation, this method may provide an environmentally friendly and simple way to prepare the covalently coated capillaries for CE.