α-CD:N2O "host-guest" type complexes were formed by a simple solid-gas reaction (N2O sorption into α-CD) under different gas pressures and temperatures. The new N2O inclusion method applied in the present study was compared with the already known technique based on the crystallization of clathrates from a water solution of α-CD saturated with N2O. A maximum storage capacity of 4.5 wt.% N2O was achieved when charging the cyclodextrin from a gas phase. The amount of included gas decreases to 1.3 wt.% when the complex is stored in air at 1 atm and room temperature, analogous to that achieved by the crystallization of α-CD:N2O. Furthermore, it was shown that the external coordination of N2O to either the upper or lower rim of α-CD without hydration water displacement is the preferred mode of binding, due to hydrogen bonds with neighboring -OH groups from the host macrocycle and three of the hydration water molecules nearby. The capacity of α-CD to store N2O and the thermal stability of the α-CD:N2O complex demonstrated promising applications of these types of complexes in food and beverages.