Eucalyptus citriodora is one of the most widely used essential oils (EOs) because of its various antimicrobial, antioxidant and anti-inflammatory activities. However, its limited aqueous solubility restricts its use. The aim of this study was to develop supramolecular formulations able to retain E. citriodora EO in solution. For this purpose, new cyclodextrin (CD) polymers were synthesized and characterized using gel permeation chromatography, FTIR and NMR spectroscopies. Their retention ability toward E. citriodora in non-conventional green media (deep eutectic solvent (DES):water mixture), more precisely choline chloride:urea DES:water (70:30 wt%), was evaluated and compared to the corresponding native CD [β-cyclodextrin (β-CD)] or CD derivatives [hydroxypropylated-β-cyclodextrin (HP-β-CD) and low methylated-β-cyclodextrin (CRYSMEB)] using static headspace-gas chromatography (SH-GC). All the studied formulations showed a great capacity to retain and reduce the volatility of E. citriodora. The various polymers showed divergent retention efficiencies.