In this report, the inclusion complexes of eugenol-gamma cyclodextrin (γCD) were incorporated in pullulan nanofibers using electrospinning technique. As a control sample, the pristine eugenol contained pullulan nanofibers were electrospun, as well. The nanofibrous webs were prepared with the initial eugenol content of 12% (w/w) and pullulan/eugenol-γCD nanofibers could preserve ~93% of this volatile essential oil compound due to inclusion complexation. On the other hand, only ~23% of eugenol was preserved in case of pullulan/eugenol nanofibers. The inclusion complexation also provided an enhanced thermal stability for eugenol and its volatilization shifted from ~50-190 °C to ~125–300 °C in case of pullulan/eugenol-γCD nanofibers. The antioxidant performance of eugenol was not affected by the inclusion complexation and the nanofibers of pullulan/eugenol-γCD and pullulan/eugenol indicated ~100% and ~58% radical scavenging activity for the same nanofiber concentration (250 μm/mL). Moreover, pullulan/eugenol-γCD nanofibers maintained the antioxidant activity even after 3-months storage at room temperature (~98%) and heat-treatment performed at 175 °C for 1 h (~93%). The time dependent release test indicated that pullulan/eugenol-γCD nanofibers has a release profile in a relatively controlled manner compared to pullulan/eugenol nanofibers under the same experimental conditions. Here, the functional nanofibrous web encapsulated an essential oil compound was developed using the edible pullulan and non-toxic and natural cyclodextrin molecules. Therefore, pullulan/eugenol-γCD nanofibers can be quite a promising encapsulation and carrying matrix for the essential oils which are widely used in both food and pharmaceutical areas.