Tyrosol (TY), 4-(2-hydroxyethyl)phenol, is an olive oil biophenol with antioxidant activity and positive effects on human health. This study has investigated the interactions of TY with cyclodextrins (CD) and a CD polymer. Complexation of TY with β-CD, hydroxypropyl-β-CD (HP-β-CD), and methyl-β-CD (Me-β-CD) has been evaluated both in aqueous solution and in the solid state. The techniques employed in solution to determine the apparent stability constants of the respective complexes were fluorescence and UV–visible spectroscopies. Complexation with β-CD and its derivatives involved an increase of both the UV absorbance and the intrinsic fluorescence of TY; a bathochromic shift of the UV spectrum was detected as well. The apparent stability constants obtained with native β-CD, Me-β-CD and HP-β-CD presented similar values. Complexes in the solid state were obtained by coevaporation and kneading. They were characterised by X-ray diffraction analysis and differential thermal analysis. The interaction of TY with β-CD led to a crystalline complex; the same diffraction pattern was obtained by coevaporation and kneading. The complexes obtained with methyl- and HP-β-CD were amorphous irrespective of the preparation method. In addition, the retention of TY in an insoluble polymer of CD crosslinked with epichlorohydrin has been quantified. In approximately 20 min, 1 mg of TY per gram of polymer was retained.