This study reports the formation of solid vanillin/cyclodextrin inclusion complexes (vanillin/CD ICs) with the aim to enhance the thermal stability and sustained release of vanillin by inclusion complexation. The solid vanillin/CD ICs with three types of CDs (α-CD, β-CD, and γ-CD) were prepared using the freeze-drying method; in addition, a coprecipitation method was also used in the case of γ-CD. The presence of vanillin in CD ICs was confirmed by FTIR and (1)H NMR studies. Moreover, (1)H NMR study elucidated that the complexation stoichiometry for both vanillin/β-CD IC and vanillin/γ-CD IC was a 1:1 molar ratio, whereas it was 0.625:1 for vanillin/α-CD IC. XRD studies have shown channel-type arrangement for CD molecules, and no diffraction peak for free vanillin was observed for vanillin/β-CD IC and vanillin/γ-CD IC, indicating that complete inclusion complexation was successfully achieved for these CD ICs. In the case of vanillin/α-CD IC, the sample was mostly amorphous and some uncomplexed vanillin was present, suggesting that α-CD was not very effective for complexation with vanillin compared to β-CD and γ-CD. Furthermore, DSC studies for vanillin/β-CD IC and vanillin/γ-CD IC have shown no melting point for vanillin, elucidating the true complex formation, whereas a melting point for vanillin was recorded for vanillin/α-CD IC, confirming the presence of some uncomplexed vanillin in this sample. TGA thermograms indicated that thermal evaporation/degradation of vanillin occurred over a much higher temperature range (150-300 °C) for vanillin/CD ICs samples when compared to pure vanillin (80-200 °C) or vanillin/CD physical mixtures, signifying that the thermal stability of vanillin was increased due to the inclusion complexation with CDs. Moreover, headspace GC-MS analyses indicated that the release of vanillin was sustained at higher temperatures in the case of vanillin/CD ICs due to the inclusion complexation when compared to vanillin/CD physical mixtures. The amount of vanillin released with increasing temperature was lowest for vanillin/γ-CD IC and highest for vanillin/α-CD IC, suggesting that the strength of interaction between vanillin and the CD cavity was in the order γ-CD > β-CD > α-CD for solid vanillin/CD ICs.