Nerolidol, a naturally occurring sesquiterpene with antimicrobial activities, is a promising candidate as a natural alternative for synthetic preservatives in food. However, its application is limited by low aqueous solubility and stability. In this study, conventional liposomes and drug-in-cyclodextrin-in-liposomes (DCLs) were evaluated for the first time as encapsulating materials for nerolidol. The size, encapsulation efficiency (EE%), loading rate (LR%), photo- and storage stabilities of both systems were characterized. Moreover, the in vitro release of nerolidol from liposomes and DCLs was investigated over time. Nerolidol was efficiently entrapped in both carriers with high EE% and LR% values. In addition, DCLs prolonged the release of nerolidol over one week and enhanced the photostability more effectively than conventional liposomes. Finally, all formulations were stable after 12 months of storage at 4 °C (>60% incorporated nerolidol). Therefore, DCLs are promising carriers for new applications of sesquiterpenes in the pharmaceutical and food industries.