Combining cholesterol-loaded methyl-β-cyclodextrin (CD-CHL) with vitamin E-loaded methyl-β-cyclodextrin (CD-Vit E) to combat cold shock and oxidative stress during sperm cryopreservation in soybean lecithin extenders remains unexplored. Thus, the current study aimed to investigate the effect of treating bull sperm with CD-CHL and CD-Vit E prior to cryopreservation in a soybean lecithin extender. Sperm collected from eight fertile bulls were pooled and split into six aliquots. Five aliquots were treated, in a Tris-based extender, with CD-CHL (2 mg/120 × 106 cells/mL) and either 0, 0.5, 1.0, 1.5 or 2 mg CD-Vit E/120 × 106 cells/mL. The control aliquot was diluted in a Tris-based extender without further supplementation. After incubation at 22°C for 15 min and addition of a soybean lecithin extender, all aliquots were equilibrated for 2 h at 4°C and then cryopreserved in liquid nitrogen. Computer-assisted sperm analysis (CASA) was used to explore the different sperm motility parameters, hypo-osmotic swelling test to determine membrane functionality and fluorescein isothiocyanate-conjugated Aeachis hypogaea (peanut) agglutinin (FITC-PNA) to quantify acrosome integrity. The effect of oxidative stress on the sperm membrane was assessed through lipid peroxidation measurement. Compared to control, CD-CHL alone improved significantly (p < 0.05) all CASA motility parameters, membrane functionality and acrosome integrity of thawed sperm. The membrane functionality was more significantly (p < 0.05) improved when 0.5 mg CD-Vit E was combined with CD-CHL. Concerning lipid peroxidation, no significant differences (p > 0.05) in malondialdehyde (MDA) levels were registered between groups. In conclusion, the combination of CD-CHL and CD-Vit E demonstrated a significant positive effect on the cryopreservation of bull sperm in a soybean lecithin extender.