Vanillin/cyclodextrin inclusion complex nanofibers (vanillin/CD-IC NFs) were successfully obtained from three modified CD types (HPβCD, HPγCD and MβCD) in three different solvent systems (water, DMF and DMAc) via an electrospinning technique without using a carrier polymeric matrix. Vanillin/CD-IC NFs with uniform and bead-free fiber morphology were successfully produced and their free-standing nanofibrous webs were obtained. The polymer-free CD/vanillin-IC-NFs allow us to accomplish a much higher vanillin loading (∼12%, w/w) when compared to electrospun polymeric nanofibers containing CD/vanillin-IC (∼5%, w/w). Vanillin has a volatile nature yet, after electrospinning, a significant amount of vanillin was preserved due to complex formation depending on the CD types. Maximum preservation of vanillin was observed for vanillin/MβCD-IC NFs which is up to ∼85% w/w, besides, a considerable amount of vanillin (∼75% w/w) was also preserved for vanillin/HPβCD-IC NFs and vanillin/HPγCD-IC NFs. Phase solubility studies suggested a 1 : 1 molar complexation tendency between guest vanillin and host CD molecules. Molecular modelling studies and experimental findings revealed that vanillin : CD complexation was strongest for MβCD when compared to HPβCD and HPγCD in vanillin/CD-IC NFs. For vanillin/CD-IC NFs, water solubility and the antioxidant property of vanillin was improved significantly owing to inclusion complexation. In brief, polymer-free vanillin/CD-IC NFs are capable of incorporating a much higher loading of vanillin and effectively preserve volatile vanillin. Hence, encapsulation of volatile active agents such as flavor, fragrance and essential oils in electrospun polymer-free CD-IC NFs may have potential for food related applications by integrating the particularly large surface area of NFs with the non-toxic nature of CD and inclusion complexation benefits, such as high temperature stability, improved water solubility and an enhanced antioxidant property, etc.