Specifically designed electrochemical sensors are standing out as alternatives to enzyme-based biosensors for the sensing of metabolites. In our previous works, we developed a new electrochemical assay based on cyclodextrin supramolecular complexes. A ferrocene moiety (Fc) was chemically modified by phenylboronic acid (4-Fc-PB) and combined with two different kinds of cyclodextrins (CDs): β-CD and β-CD modified by a dipicolylamine group (dpa-p-HB-β-CDs) for the sensing of fructose and adenosine-triphosphate (ATP), respectively. The aim of the present work is to better comprehend the features underlining the aforementioned complex formation. For the first time, a study about inclusion phenomena between the 4-Fc-PB electroactive probe with β-CD and with dpa-p-HB-β-CD was performed by using nuclear magnetic resonance (NMR) analysis. In particular, we focused on providing insights on the interaction involved and on the calculation of the binding constant of 4-Fc-PB/β-CD supramolecular complex, and elucidation about a drift in the time observed during the control experiments of the electrochemical measurements for the 4-Fc-PB/dpa-p-HB-β-CD supramolecular complex. In this sense, this paper represents a step further in the explanation of the electrochemical results obtained, pointing out the nature of the interactions present both in the formation of the inclusions and in the sensing with the analytes.