Aggregates of amphiphilic molecules can be used as drug carriers, for which the properties can be modified by mixing with other molecules such as cholesterol. It is important to understand the effects of such additives on the properties because they directly define the material functions. In this work, we investigated the effect of cholesterol on the formation and hydrophobicity of aggregates of sorbitan surfactants. As cholesterol changed its formation from micelles to vesicles, an increase in hydrophobicity was seen, particularly in the middle regions compared with the shallow and deep regions. We show that this gradual hydrophobicity is related to the localization of the embedded molecules. 4-Hydroxy-TEMPO and 4-carboxy-TEMPO were preferentially localized in the shallow region of the aggregates, whereas 4-PhCO2-TEMPO was preferentially localized in the deep region of the vesicle. The localization of molecules depends on their chemical structure. However, the localization of 4-PhCO2-TEMPO in micelles was not observed, despite the similar hydrophobicity in the hydrophobic region within the aggregates. The localization of embedded molecules was related to other properties, such as molecular mobility.