Here we describe the encapsulation in α-cyclodextrins (α-CDs) of wheat bran, pumpkin and tomato oleoresins, extracted by supercritical carbon dioxide, to obtain freeze-dried powders useful as ready-to-mix ingredients for novel functional food formulation. The stability of tocochromanols, carotenoids and fatty acids in the oleoresin/α-CD complexes, compared to the corresponding free oleoresins, was also monitored over time in different combinations of storage conditions. Regardless of light, storage at 25 °C of free oleoresins determined a rapid decrease in carotenoids, tocochromanols and PUFAs. α-CD encapsulation improved the stability of most bioactive compounds. Storage at 4 °C synergized with encapsulation in preventing degradation of bioactives. Unlike all other antioxidants, lycopene in tomato oleoresin/α-CD complex resulted to be more susceptible to oxidation than in free oleoresin, likely due to its selective sequestration from the interaction with other lipophilic molecules of the oleoresin.