The formation of complexes between hydroxypropyl-β-cyclodextrin or methyl-β-cyclodextrin and 1-alkanols or cycloalkanols has been studied calorimetrically at 298 K in water and in concentrated aqueous solutions of ethanol with the aim of understanding the effects of the solvent medium on the association process. When a complex is formed, calorimetry enables the calculation of both the enthalpy and the association constant, from which the free energy and the entropy of the process can be obtained. The forces involved in the association process are discussed in the light of the signs and values of the thermodynamic parameters obtained. The most important conclusions from this study are: (i) for linear alkanols, hydrophobic interactions are largely the forces acting in the complexation. That is detected by the small enthalpies and by the high and always positive entropies. For cycloalkanols, entropies are positive or negative—an indication that other forces act in the complexation. (ii) In concentrated aqueous solutions of cosolvent, complexation is characterized by enthalpy and entropy changes which depend on the extent of alteration induced by the cosolvent on the structure of water and on the hydration shells of the interacting substances. (iii) A linear correlation exists between enthalpy and entropy of complexation, thus indicating that inclusion is a process dominated by aquation phenomena and ascribed to the modifications experienced by the solvent in the hydration shells of the interacting substances.