Caffeic acid is a natural phenylpropanoid that exhibits various health benefits. However, it suffers from a poor aqueous solubility limiting its application. This drawback could be overcome by complexation in cyclodextrins (CD) or cosolvency. Herein, we investigated, for the first time, the combined effect of CD and ethanol as cosolvent on complexation, solubilization and antioxidant activity of caffeic acid. Results showed that CD, ethanol and their combined use enhanced the solubility of this phenylpropanoid. However, the presence of ethanol affects the formation of inclusion complexes as lower formation constants (Kf) and complexation efficiencies (CE) were obtained while increasing the ethanol percentage (0–45% v/v). No inclusion complex could be observed at 45% v/v ethanol. These results were confirmed by 2D DOSY and 2D ROESY NMR experiments. Furthermore, the antioxidant activity of caffeic acid in the combined system was enhanced consequent to its increased solubility.