The design of functional delivery systems is essential for storing and releasing active components. Inspired by the structure of Nepenthes mirabilis, cellulose nanocrystals (CNC) cooperate with cyclic α-cyclodextrins (α-CD), β-cyclodextrins (β-CD), and γ-cyclodextrins (γ-CD) to form nanocomposites at different mass ratios for the delivery the Mosla chinensis essential oils (EO)-loaded Pickering emulsions (PE), respectively. Characterization methods including FT-IR, TG, XPS, AFM, XRD, and three-phase contact angle were used to analyze the structure of the nanocomposites. The molecular docking and molecular dynamic simulation results revealed that the most hydrogen bonds were formed between β-CD and CNC, but the tendency for γ-CD and CNC to bond with hydrogen bonds was stronger in the molecular dynamic simulation. Subsequently, the physicochemical properties of emulsions stabilized by CNC/CDs nanocomposites were characterized through particle size, potential, microstructure, long-term stability, rheology, and aqueous phase distribution indexes. The results showed that the different mass ratios CNC/α-CD and CNC/β-CD nanocomposites stabilized PE had smaller droplet scales and better stability. While CNC/γ-CD nanocomposites had a negative effect on the emulsion. The in vitro release results showed that the emulsions stabilized by CNC/CDs nanocomposites had a slow-release rate for EO by diffusion. The simulated gastrointestinal release showed that CNC/β-CD-PE had the highest bioavailability. Moreover, CNC/β-CD-PE reduced the minimal inhibitory concentration of EO by a mechanism that disrupts the membrane structure of bacteria. Therefore, the introduction of β-CD may be an effective alternative in regulating the physical properties, function, and stabilization of CNC-based PE. These findings provide a scientific basis for the rational structural design of delivery systems for the encapsulated aroma molecules.