The aim of this study was to investigate the incorporation into lipospheres of the complex between hydroxypropyl-β-cyclodextrin (HP-β-CD) and the sunscreen agent, butyl methoxydibenzoylmethane (BMDBM) and to examine the influence of this system on the sunscreen photostability. The formation of the inclusion complex was confirmed by thermal analysis and powder X-ray diffraction. Lipid microparticles loaded with free BMDBM or its complex with HP-β-CD were prepared using tristearin as the lipid material and hydrogenated phosphatidylcholine as the emulsifier. The obtained lipospheres were characterized by scanning electron microscopy and differential scanning calorimetry. The microparticle size (15–40 μm) was not affected by the presence of the complex. Release of BMDBM from the lipospheres was lower when it was incorporated as inclusion complex rather than as free molecule. Unencapsulated BMDBM, its complex with HP-β-CD, the sunscreen-loaded lipospheres or the lipoparticles containing the BMDBM/HP-β-CD complex, were introduced into a model cream (oil-in-water emulsion) and irradiated with a solar simulator. The photodegradation studies showed that all the examined systems achieved a significant reduction of the light-induced decomposition of the free sunscreen agent (the BMDBM loss decreased from 28.9 to 17.3–15.2%). However, photolysis experiments performed during 3 months storage of the formulations, demonstrated that the photoprotective properties of the HP-β-CD complex and of BMDBM alone-loaded lipospheres decreased over time, whereas the microencapsulated HP-β-CD/BMDBM complex retained its photostabilization efficacy. Therefore, incorporation in lipid microparticles of BMDBM in the cyclodextrin complex form is more effective in enhancing the sunscreen photostability than the complex alone or the liposphere-entrapped free BMDBM.