Cyclodextrins (CDs) are among the most widely used native host systems with ability to form inclusion complexes with various molecular objects. This ability is so strong that the "hydrophobic" CD cavity never remains empty, even in the guest-free state it is filled with water molecules. However, no consensus has been reached concerning both the total number of hydrating water molecules and their preferred binding location in the CDs. Several outstanding questions regarding the CD hydration still wait to be answered: (1) Which spots of the CD cavity ("hot spots") have the highest affinity for the guest water molecules? (2) How stable are water clusters inside the cavity? (3) Which mode of water binding, sequential or bulk, is thermodynamically more favored? (4) What is the upper limit of the number of water molecules bound inside the host cavity? (5) What factors do control the CD hydration process? Here, using αCD as a typical representative of the cyclodextrin family, we endeavor to answer these questions by combining experimental measurements (differential scanning calorimetry and thermogravimetry) with theoretical (DFT) calculations. Enthalpies of the αCD hydrate formation are evaluated and the role of different factors, such as the number and mode of binding (sequential vs bulk) of water molecules, type of hydrogen bonds established (water-water vs water-αCD), and the dielectric properties of the medium, on the complexation process is assessed. The results obtained shed light on the intimate mechanism of water binding to αCD and disclose the key factors governing the process.