In this work, the preparation of inclusion complexes, (ICs) using magnesium phthalocyanine (MgPc) and various cyclodextrins (β-CD, γ-CD, HP-β-CD, Me-β-CD), using the kneading method is presented. Dynamic light scattering (DLS) indicated that the particles in dispersion possessed mean size values between 564 to 748 nm. The structural characterization of the ICs by infrared spectroscopy (FT-IR) and nuclear magnetic resonance (NMR) spectroscopy provides evidence of the formation of the ICs. The release study of the MgPc from the different complexes was conducted at pH 7.4 and 37 °C, and indicated that a rapid release (“burst effect”) of ~70% of the phthalocyanine occurred in the first 20 min. The kinetic model that best describes the release profile is the Korsmeyer–Peppas. The photodynamic therapy studies against the squamous carcinoma A431 cell line indicated a potent photosensitizing activity of MgPc (33% cell viability after irradiation for 3 min with 18 mW/cm2), while the ICs also presented significant activity. Among the different ICs, the γ-CD-MgPc IC exhibited the highest photokilling capacity under the same conditions (cell viability 26%). Finally, intracellular localization studies indicated the enhanced cellular uptake of MgPc after incubation of the cells with the γ-CD-MgPc complex for 4 h compared to MgPc in its free form.