In the present study, complexes of vanillin with β-cyclodextrin (β-CD) were prepared by the freeze-drying method. The formation of the inclusion complex was confirmed by differential scanning calorimetry (DSC). DSC thermograms indicated that the endothermic peak of vanillin and the physical mixture of vanillin with β-CD, due to the melting of vanillin crystals, were absent in DSC thermograms obtained for the freeze-dried inclusion complex. Moreover, the DSC studies under oxidation conditions indicate that the complex of vanillin with β-CD is protected towards oxidation since it remains intact at temperatures where the free vanillin is oxidising. The structure of the complex in aqueous solutions was established by nuclear magnetic resonance (NMR) studies and specifically by two-dimensional rotational frame NOE spectra. NMR studies showed inclusion of the entire vanillin molecule in the β-CD in a tilted manner and with the aldehyde group in the primary side. The stoichiometry of the complex was 1:1. A phase solubility study was performed by mixing an excess amount of vanillin with aqueous solutions containing increasing amounts of β-CD. The results indicated that the complex of a vanillin/β-CD inclusion is more soluble in water than vanillin alone.