Pterostilbene (3,5-dimethoxy-4′-hydroxystilbene, PTB) is a natural dietary stilbene, occurring primarily in blueberries and Pterocarpus marsupium heartwood. The interest in this compound is related to its different biological and pharmacological properties, such as its antioxidant, anti-inflammatory, and anticarcinogenic activities and its capacity to reduce and regulate cholesterol and blood sugar levels. Nevertheless, its use in therapy is hindered by its low aqueous solubility; to overcome this limitation we studied the feasibility of the use of cyclodextrins (CDs) as solubility-enhancing agents. CDs are natural macrocyclic oligomers composed of α-d-glucose units linked by α-1,4 glycosidic bonds to form torus-shaped molecules, responsible for inclusion complex formation with organic molecules. In particular, the aim of this study was to evaluate the feasibility of complexation between PTB and native CDs using various preparative methods. The isolated solid products were characterized using differential scanning calorimetry (DSC), simultaneous thermogravimetric/DSC analysis (TGA/DSC), Fourier transform infrared (FT-IR) spectroscopy, and X-ray diffraction (XRD) on powder and single crystals. The results indicated little or no evidence of the affinity of PTB to complex with α-CD using the kneading method. However, with β-CD and γ-CD thermal analysis revealed an interaction which was also corroborated by FT-IR and 1H-NMR spectroscopy. With β-CD, a hydrated complex of PTB was isolated and its characterization by single-crystal XRD revealed, for the first time, the mode of inclusion of the PTB molecule in the cavity of a CD. To complement the solid-state data, liquid-phase studies were carried out to establish the effect of CDs on the aqueous solubility of PTB and to determine the complex stoichiometries and the association constants for complex formation. Phase-solubility studies showed AL-type profiles for α- and β-CD and a BS profile for γ-CD, with K1:1 values of 1144, 4950, and 133 M−1 for α-CD·PTB, β-CD·PTB, and γ-CD·PTB, respectively. The stoichiometry of CD·PTB complexes, determined by Job’s method, revealed for each system a 1:1 molar ratio. The dissolution rate of PTB was approximately doubled just by employing simple physical mixtures, but the best performance was achieved by products obtained via kneading and co-precipitation, which effected the complete dissolution of PTB in 40 and 20 min for β-CD and γ-CD, respectively.