Liposomes loaded with drug–cyclodextrin complexes are widely used as drug delivery systems, especially for species with low aqueous solubility and stability. Investigation of the intimate interactions of macrocycles with liposomes are essential for formulation of efficient and stable drug-in-cyclodextrin-in-liposome carriers. In this work, we reported the preparation of unilamellar vesicles of 1-palmitoyl-2-oleoyl-sn-glycero-3-phosphocholine (POPC) embedded with native β-cyclodextrin and two synthetic derivatives: heptakis(2,3,6-tri-O-methyl)-β-cyclodextrin (TMCD) and heptakis(2,3-di-O-acetyl)-β-cyclodextrin (DACD). We then studied the effect of these macrocycles on the liposomal size, membrane viscosity, and liposomal stability at different temperatures and concentrations. We observed that TMCD and DACD affected vesicle size and the change of size was related to CD concentration. Irrespective of its nature, the macrocycle established interactions with the phospholipidic head groups, preventing cyclodextrins to diffuse into the lipid bilayer, as confirmed by molecular dynamics simulations. Such supramolecular structuring improves liposome stability making these colloid systems promising carriers for biologically active compounds.