The use of cyclodextrins (CDs) in combination with deep eutectic solvents (DESs) is nowadays an emerging and promising strategy for the solvation of hydrophobic compounds, such as aromas. This approach combines the solvation efficiency of the solvent bulk and the complexation ability of CDs. However, literature lacks information about the complexation mechanism in CDs in these non-conventional solvents. Hence, this study aims to elucidate such mechanism by investigating the complexation behavior and the binding ability of β-CD and α-CD towards verbenone and camphor, respectively, in choline chloride:urea DES:water (70:30 wt%) mixture. First, the formation constants (Kf) of the chosen model inclusion complexes were determined by static headspace-gas chromatography (SH-GC). Then, the formation of inclusion complexes was demonstrated by 1H 2D DOSY and 2D ROESY NMR studies. Finally, isothermal titration calorimetry (ITC) experiments were carried out, for the first time in a DES:water mixture, in order to evaluate the thermodynamic parameters of the inclusion phenomenon. Altogether, results proved the formation of stable inclusion complexes in the new non-conventional medium constituted of choline chloride:urea DES:water (70:30 wt%). Interestingly, the thermodynamic signatures and the stoichiometries of interactions were similar between water and choline chloride:urea DES:water (70:30 wt%). In particular, the present study of the α-CD/camphor system constitutes the first report of a 2:1 complex in a DES:water mixture.