Crosslinked enzyme aggregates (CLEAs) of a thermostable cyclodextrin glucosyltransferase (CGTase) from Thermoanaerobacter sp. have been prepared for the production of cyclodextrins (CDs). Different parameters in the precipitation (nature and concentration of precipitant) and crosslinking steps (time of reaction with cross-linker, nature and concentration of the crosslinker) were evaluated on the production of CLEAs of CGTase. Among the seven studied precipitants, acetone with a 75% (v/v) concentration produced the aggregates of CGTase with higher activity, which retained 97% of the initial activity. Concerning the cross-linker (glutaraldehyde, starch–aldehyde, and pectin–aldehyde), starch–aldehyde produced the most active CLEAs. The use of bovine serum albumin as co-feeder decreased the expressed activity. Addition of polyethylenimine at the end of cross-linking step prevented the leakage of the enzyme and the subsequent Schiff’s bases reduction with sodium borohydride permitted to maintain 24% of the initial activity even with the large dextrin as substrate. The optimal conditions for the immobilization process required were defined as 75% (v/v) acetone as precipitation reagent for 1 h at 20 °C, 20 mM starch–aldehyde as crosslinking reagent for 2 h at 20 °C, treatment with 1 mg/mL of polyethylenimine for 5 min, reduction with 1 mg/mL of sodium borohydride. The CLEAs of CGTase were active catalyst (similarly to the free enzyme) in the production of cyclodextrins at 50 °C and pH 6.0 for 6 h reaction, maintaining intact their structures. Besides this, after five cycles of 3 h the total cyclodextrin yield was 80% of the initial value (first batch, with around 45% CD yield).