β-Caryophyllene (BCP) is a sesquiterpene that shows high potential in pharmacological applications. However, these have been drastically limited by the respective volatility and poor water solubility. The present study investigates the formation of inclusion complexes between BCP and methyl-β-cyclodextrin (MβCD) and shows that these complexes promote a significant improvement of the anti-inflammatory, gastric protection, and antioxidant activities relative to neat BCP. It is shown that the solubility of BCP is significantly increased through complexation in phase solubility studies. Inclusion complexes with MβCD in solid state were prepared by three different methods, kneading, rotary evaporation, and lyophilization, with the latter confirmed by differential scanning calorimetry, Fourier transformed infrared spectroscopy, scanning electron microscopy, 1H NMR spectroscopy, and molecular dynamics studies. This study provides for the first time a full characterization of inclusion complexes between BCP and MβCD and highlights the impact of complex formation upon pharmacological activity.