Essential oils (EOs) offer interesting biological properties that can be altered by their high volatility and low solubility. This study examined, for the first time, the effect of the combination of different choline chloride (ChCl) based-deep eutectic solvents (DESs), water and cyclodextrins (CDs) on the retention and solubilization of Eucalyptus citriodora EO and its major component, citronellal. The density, viscosity and polarity of the newly prepared DES:water:CD mixtures were measured. The influence of water content, DES type and composition as well as CD type and concentration on the retention capacity were investigated using static headspace-gas chromatography. Results showed that the mixture composed of choline chloride:urea (ChCl:U) (1:2 molar ratio) DES:water (70:30 wt%) in the presence of CD presented the highest retention capacity. Finally, the formation constant (Kf) values of CD/citronellal inclusion complexes and the vapor-liquid partition coefficients of citronellal were determined in ChCl:U DES:water 70:30 wt%.