Cyclodextrins are a family of oligosaccharides with a toroid shape that exhibit a unique ability of entrapping guest molecules in their internal cavity. Water is the primary guest molecule and is omnipresent in the crystalline phases stabilizing the overall architecture. Despite the presence of water molecules inside the cavity, cyclodextrins provide a hydrophobic environment where poorly soluble molecules can easily fit. In this investigation we put in evidence different types of water in the hydrated α-, β-, and γ-cyclodextrin crystals. Thermogravimetric measurements identify various binding sites of water and highlight the difference between the crystals equilibrated under various humid atmospheres. We establish by microcalorimetry the limit of solubility versus temperature and measure for the first time the melting temperatures of the hydrated crystals. Dissolution and melting enthalpies are derived and the solubility curves are compared to existing literature. The specific features of each cyclodextrin are underlined.