The combined approach of cyclodextrin complexation and entrapment in liposomes was investigated in order to develop an effective topical formulation of ketoprofen. Equimolar complex of drug and hydroxypropyl-β-cyclodextrin (HPβCyd) was added at different concentrations to the aqueous phase of liposomes consisting of phosphatidylcholine and cholesterol (60%/40%, w/w). Liposomes were prepared with different techniques, such as thin layer evaporation, freezing and thawing, extrusion through microporous membrane, and reverse phase evaporation method, obtaining, respectively, multi-lamellar vesicles (MLV), frozen and thawed MLV (FATMLV), small uni-lamellar vesicles (SUV) and large uni-lamellar vesicles (LUV). Size and morphology of the different types of liposomes were investigated by light scattering analysis, transmission electron microscopy, and confocal laser scanning microscopy, whereas drug entrapment efficiency was determined by dialysis experiments. Cyclodextrin complexation improved drug solubilization and allowed a strong improvement of its entrapment into the aqueous liposomal phase. Liposome preparation method and operating conditions clearly affected both liposome size and drug loading capacity. Encapsulation efficiency increased with increasing the complex concentration up to 10 mM, and was in the order MLV > LUV > SUV. An opposite behaviour was observed for FATMLV, probably due to the freezing phase required by such a preparation method, which reduced the complex solubility. Moreover, it was not possible to use higher complex concentrations, due to the destabilizing effect of cyclodextrins toward the liposomal membrane. Permeability studies of drug–HPβCyd complexes, directly in solution or incorporated in liposomes, performed across artificial membranes simulating the skin behaviour, highlighted, as expected, a prolonged release effect of liposomal formulations. Furthermore, the drug permeation rate depended on the vesicle characteristics and varied in the order: SUV > MLV = FATMLV > LUV. Therefore, the most suitable liposome preparation method can be suitably selected on the basis of drug encapsulation efficiency and/or desired drug release rate.