Detailed quantum mechanical calculations of the interaction of cyclodextrin (α-, β-, and γ-CD) with 4-nitrophenol (I), 4-nitro-2,6-dimethylphenol (II), 4-nitro-3,5-dimethylphenol (III), and their anions (IVVI) with the formation of intercalation complexes are carried out for the first time. The calculations of the compounds are performed within the density functional theory by the hybrid Becke–Lee–Yang–Parr (B3LYP) method with LanL2DZ basis sets. For the α-CD+III and α-CD+VI complexes it is shown that a nitrophenol molecule of III and a nitrophenolate anion of VI are not contained in the α-CD torus, which agrees with the experimental equilibrium constants. It is found that the calculated equilibrium constants of the formation of guest–host complexes with phenolate anions are much larger than those of neutral molecules. The most stable CD complexes with nitrophenols and their anions should be expected for γ-CD. The β-CD complexes when the guest enters into the host cavity are formed only with compounds I, V, and VI.