In the field of algorithm selection research, the discussion surrounding algorithm features has been significantly overshadowed by the emphasis on problem features. Although a few empirical studies have yielded evidence regarding the effectiveness of algorithm features, the potential benefits of incorporating algorithm features into algorithm selection models and their suitability for different scenarios remain unclear. It is evident that relying solely on empirical research cannot adequately elucidate the mechanisms underlying performance variations. In this paper, we address this gap by proposing the first provable guarantee for algorithm selection based on algorithm features, taking a generalization perspective. We analyze the benefits and costs associated with algorithm features and investigate how the generalization error is affected by several factors. Specifically, we examine adaptive and predefined algorithm features under transductive and inductive learning paradigms, respectively, and derive upper bounds for the generalization error based on their model's Rademacher complexity. Our theoretical findings not only provide tight upper bounds, but also offer analytical insights into the impact of various factors, including model complexity, the number of problem instances and candidate algorithms, model parameters and feature values, and distributional differences between the training and test sets. Notably, we demonstrate that algorithm feature-based models outperform traditional models relying solely on problem features in complex multi-algorithm scenarios in terms of generalization, and are particularly well-suited for deployment in scenarios under distribution shifts, where the generalization error exhibits a positive correlation with the chi-square distance between training and test sets.