Supramolecular host–guest inclusion complexes based on cyclodextrins (CDs) are generally studied in aqueous solutions or more rarely in the presence of a cosolvent. In this study, we investigate for the first time the ability of CDs to retain their host–guest properties in deep eutectic solvents (DESs). Five cyclodextrins were solubilized in mixtures of choline chloride:urea (ChCl:U), and these new solutions were characterized by measuring their viscosity and density as a function of temperature. The heat of dissolution of β-CD in ChCl:U was measured by calorimetry. The dissolution process is exothermic meaning that the interaction between ChCl:U and CD is favorable (enthalpy of dissolution of −23.3 J/g). The ability of CDs to form inclusion complexes with various guests in ChCl:U was demonstrated using two different methods: UV–visible spectroscopy and static headspace gas chromatography. On one hand, the experimental data obtained from the complexation between methyl orange and CDs follows the theoretical fitted curved for a 1:1 inclusion complex. On the other hand, the observed volatility reductions of four volatile organic compounds in different mixtures of ChCl:U:CD were correlated to the CD/guest formation constant values determined in water. These results will certainly contribute to enlarging the applications of CDs in the DES field.