In this study, we prepared drug-loaded nanocarriers made of cholesteryl oleate (ChO) and γ-cyclodextrin (γ-CD). A nanosuspension (nanosuspension-I, NS-I) containing nanoparticles with a mean size of approximately 170 nm was obtained through the solvent-diffusion method using ethanol. A second nanosuspension (nanosuspension-II, NS-II), which was prepared by freeze-drying and redispersion of NS-I, exhibited an increased particle size of approximately 210 nm. Cryogenic transmission electron microscopy (cryo-TEM) and atomic force microscopy (AFM) force-distance curves indicated that the nanoparticles in NS-I were oblong and soft. However, those in NS-II were angular and stiff, and, interestingly, multiple nanosheets covered the solid-liquid interface. Synchrotron wide-angle X-ray diffraction (WAXD) analysis of NS-II indicated that the nanoparticles in it had a core-shell structure, where the ChO crystal in the inner core was covered by multiple nanosheets of ChO/γ-CD inclusion complex crystals. The X-ray peak analysis suggested that the γ-CD columns of the nanosheets were vertically stacked onto the ChO crystal interface. It was found that the nanosheets on the nanoparticle interface were formed during the freezing process. A model drug carbamazepine (CBZ) was loaded into the ChO/γ-CD nanoparticles by pre-dissolving CBZ in ethanol during the solvent-diffusion process. Cryo-TEM, 1H NMR, ζ-potentials, and synchrotron WAXD indicated that CBZ was unexpectedly loaded into the shell as a CBZ/γ-CD inclusion complex crystalline nanosheet. The specific nanosheet structure, where ChO and CBZ coexisted in the same crystal of γ-CD, could achieve CBZ loading in the nanoparticles. ChO/γ-CD nanoparticles with the unique core-shell structure are expected to perform as practical carriers for drug delivery.