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New docetaxel (Dtx) and cyclodextrin (CD) inclusion complexes having improved apparent water solubility (up to 9.98 mg mL−1) were obtained from phase solubility diagrams. γ-CD and SBE-β-CD offered only poor solubility enhancements while considerable increases in apparent solubility were obtained with Me-β-CD (20%, w/w) and HP-β-CD (40%, w/w) (9.98 mg mL−1 and 7.43 mg mL−1, respectively). The complexation mechanism between Dtx and Me-β-CD was investigated by circular dichroism spectrometry, two-dimensional 1H NMR (NOESY) in D2O, isothermal titration calorimetry (ITC) and molecular docking calculations. Circular dichroism and NOESY confirmed the existence of non-covalent interactions between Dtx and Me-β-CD and suggested that the tert-butyl group (C6–C9) and two aromatic groups (C24–C29 and C30–C35) of Dtx interacted with the Me-β-CD molecules. The combination of ITC results to molecular docking calculations led to the identification of an unconventional sequential binding mechanism between Me-β-CD and Dtx. In this sequential binding, a Me-β-CD molecule first interacted with both tert-butyl and C30–C35 aromatic groups (K1: 744 M−1). Then a second Me-β-CD molecule interacted with the C24–C29 aromatic group (K2: 202 M−1). The entropy of the first interaction was positive, whereas a negative value of entropy was found for the second interaction. The opposite behavior observed for these two sites was explained by differences in the hydrophobic contact surface and functional group flexibility.