Hydroxypropyl-β-cyclodextrin (HP-β-CyD) and sulfobutyl ether-β-cyclodextrin (SBE-β-CyD) were used to generate hydrophilic complexes of the poorly water-soluble drug testosterone propionate (TP). The inclusion complexes were obtained by freeze-drying, and then analyzed at both liquid and solid states. Phase solubility studies, performed according to the type-AL solubility diagrams of TP in presence of both CyDs, suggested the formation of water-soluble complexes at 1:1 molar ratio. These results were confirmed by continuous variation method (Job’s plot). Both CyDs increased water-solubility of TP 100-fold as compared to the native drug. The host-guest arrangement of CyD complexes in a water solution was further investigated by one- and two-dimensional NMR spectroscopy, highlighting the insertion of the tetracyclic ring of TP into the CyD cavity, and the interaction of the pending ester chain of drug with the primary hydroxyl groups of CyDs at the narrow end of the toroid structure. In solid phase, FTIR-ATR spectroscopy showed that the C=O stretching mode of the TP vibrational spectrum changed if the complex between the drug and CyDs occurred. This change is temperature-dependent, and its evolution, accounted for by deconvolution procedures, provided the thermodynamic parameters explaining the mechanisms involved in the formation of inclusion complexes.