In this study, inclusion complexes (ICs) of menthol with various cyclodextrins (CDs) [α-CD, β-CD, γ-CD, (2-hydroxypropyl)-β-cyclodextrin (HP-β-CD), and methyl-β-cyclodextrin (M-β-CD)] were prepared, and the ICs with the highest encapsulation efficiency were applied in the electrospun gelatin mats to extend the release of menthol. Electrospinning feed solutions were evaluated based on surface tension, zeta potential, electrical conductivity, and rheological properties. The diameter and morphology of the pure gelatin and the CDs-loaded gelatin mats were analyzed using microscopy (FESEM and AFM). The results confirmed that CD loading leads to a decrease in the diameter of the nanofibers. The longest disintegration time belonged to the gelatin mat containing the β-CD complex. Comparison of the FTIR spectrum and XRD patterns of gelatin mats containing menthol-loaded CD complexes with the pure compounds confirmed the successful encapsulation of menthol inside the cavity of the CD, and the disappearance of the crystalline state of electrospun gelatin mats. Applying the electrospun gelatin mats as a fast-dissolving structure for the menthol-loaded inclusion complexes increased its thermal stability. In the bioadhesive test, the lowest force required to separate the gelatin mat from the skin model was obtained in the menthol-containing β-CD gelatin mat (6.21 ± 1.01 g). The menthol release from the pure gelatin mats was much faster than the electrospun mats containing CD complexes. Peppas-Sahlin and Fickian diffusion (Case-I) were the best-fitted model and menthol release mechanism, respectively.