The low solubility, poor bioavailability, and low chemical stability of quercetin (Quer) are the main drawbacks that limit its use as a food nutraceutical. In this study, the encapsulation in cyclodextrins (CDs), conventional liposomes (CLs), and drug-in-cyclodextrin-in-liposomes (DCLs) was conducted in order to improve the physicochemical properties of Quer. Phase solubility studies revealed an enhancement of Quer solubility upon complexation with various CDs. CLs composed of three different types of phospholipids (unsaturated egg Lipoid E80, unsaturated soybean Lipoid S100, and saturated soybean Phospholipon 90H) as well as DCLs were prepared by ethanol injection method and characterized. Liposomes constituted of Lipoid E80 showed small diameter, narrow size distribution, and higher encapsulation efficiency of Quer compared to the two other CLs. The photostability of Quer-loaded liposomes was also evaluated. Results show that Lipoid E80-liposomes allow a better protection of Quer against UV irradiation than those prepared using other lipids. This effect could be explained by their different membrane rigidity as determined by Atomic Force Microscopy (AFM). Moreover, the photostability of Quer was additionally improved when encapsulated in DCLs (SBE-β-CD/Quer inclusion complex in Lipoid E80 liposomes), in comparison to CLs. The same trend was obtained regarding the Quer stability in simulated gastrointestinal fluids. Finally, all liposome formulations were physically stable after 1 year of storage at 4 °C.