The mechanism by which the protein bovine serum albumin undergoes unfolding induced by the anionic surfactant sodium dodecyl sulphate (SDS) and then the subsequent refolding brought in by β-Cyclodextrin (β-CD) was studied by steady-state fluorescence, time resolved measurements and Circular Dichroism (CD) spectroscopy. The prominent findings of this investigation are (i) SDS unfolds the protein in a sequential manner passing through three different phases of binding of SDS followed by a saturation phase; (ii) the refolding process is initiated through inclusion/removal of SDS molecules by β-CD and hence this also seems to happen in a phased manner; (iii) the process of refolding seems to be reversible to the unfolding process but the protein does not regain all its structure on refolding; (iv) however, CD results reveal almost 100% recovery of the secondary structure lost during SDS induced unfolding. We have conclusively proved that there is a marginal structural gain of the native protein at low surfactant concentration and β-CD also induces a marginal structural loss to the native protein. The unfolding process induced by SDS seems to be spontaneous and the binding of SDS to BSA is rather strong, as revealed by thermodynamic parameters.