Multi-wall carbon nanotubes (CNTs)/Nafion composite membrane modified glassy carbon electrode (GCE) was fabricated to investigate the redox of brilliant cresyl violet (BCV) and its supramolecular system with γ-CD and hydroxypropyl-γ-CD (HP-γ-CD). The cyclic voltammetric results indicated that MWNTs/Nafion composite membrane was able to electrocatalyze the redox of BCV compared with bare GCE. Under optimal conditions, differential pulse voltammetry (DPV) was used to study the inclusion interaction of BCV with γ-CD and HP-γ-CD. The consequence demonstrated that the formation of complexes led to the rise of peak current and the shift of peak potential. The inclusion constants of BCV dimer with γ-CD, HP-γ-CD are 2,650 and 8,040 L/mol, respectively. UV–Vis spectra were also employed to confirm the formation of complexes. According to 1HNMR, the possible binding mode of BCV dimer with CDs was discussed.