A M2L4 cage with D4 symmetry was self-assembled from four anthracene-bridged benzimidazole ligands and two Pd(II) ions. The cage features a concise hydrophobic pocket wrapped up by the anthracene walls with eight hydrogen-bond donors pointing inward, which provide a specific binding site for nitrate, with a binding affinity at least two orders of magnitude higher than all the other anions screened including halide anions, which have a very similar ionic radius and charge density.