The active compounds in star anise alcohol extractives (SAAE) have potent bioactivity. However, their poor solubility and stability limit their applications. In this study, SAAE/hydroxypropyl-β-cyclodextrin (HP-β-CD) inclusion complexes were prepared as a strategy to overcome the abovementioned disadvantages. The phase solubility results indicated that the solubility of the inclusion complex was enhanced. Complexation was confirmed by complementary methods, including Fourier-transform infrared spectroscopy, nuclear magnetic resonance spectroscopy, scanning electron microscopy, and transmission electron microscopy, which proved to be extremely insightful for studying the inclusion formation phenomenon between SAAE and HP-β-CD. Despite there being no apparent improvements in the antioxidant capacity and antimicrobial activity, the results of the stability studies presented higher thermal, volatile, and photostability after encapsulation. Further, molecular modeling was used to investigate the factors influencing complex formation and provide the most stable molecular conformation. Thus, based on the obtained results, this study strongly demonstrates the potential of the SAAE/HP-β-CD inclusion complex in the food industry.