Drug-in-cyclodextrin-in-liposome (DCL) represents a very promising approach for preserving essential oil (EO) components, thereby extending their shelf life and activity. In this study, we examined the effect of chemical structure, octanol/water partition coefficient (log P), and Henry’s law constant (Hc) on the encapsulation and the release of monoterpenes (eucalyptol, pulegone, terpineol, and thymol) and phenylpropenes (estragole and isoeugenol) from DCLs. Hydroxypropyl-β-cyclodextrin/EO component (HP-β-CD/EO component) inclusion complexes were prepared in aqueous solution and loaded into liposomes by the ethanol injection method. The phospholipid:cholesterol:EO component molar ratio determined for DCL structures was affected by characteristics of EO components. The presence of a propenyl tail or a hydroxyl group in the structure of EO component may improve its loading into DCLs. Furthermore, low encapsulation efficiency (EE) was obtained for DCLs exhibiting high cholesterol membrane content. In addition, a positive linear relationship was found between the loading ratio of monoterpenes into DCLs and their hydrophobic character expressed as log P. The release of components from DCLs was influenced by their EE into the formulations. Finally, DCL formulations retain considerable amounts of EO components after 10 months.