Prior to developing cyclodextrin (CD) stabilized Pickering nanoemulsions (NEs) containing amphotericin B (AmB) for fungal keratitis therapy, the AmB solubility and the effect of CDs on complex formation of medium chain triglyceride (MCT) oils and AmB was investigated. The phase-solubility profiles of AmB in various aqueous CD solutions were determined. The AmB solubilization in oils and surfactants was also examined. Two CDs, γ-cyclodextrin (γCD) and 2-hydroxypropyl-γCD (HPγCD), along with MCT oil and lecithin were chosen because of their high solubilization ability for AmB. The solution- and solid-state characterizations of their inclusion complexes were investigated. Proton nuclear magnetic resonance studies demonstrated the formation of MCT oil/α-cyclodextrin (αCD), AmB/γCD, and AmB/HPγCD complexes. Some interactions between AmB and CDs were observed by solid-state characterizations using Fourier-transform infrared (FT-IR) spectroscopy, powder X-ray diffractometry and differential scanning calorimetry. The interfacial tension at the oil-water interface, the analysis of dissolved CD content in saturated MCT oil, and FT-IR confirmed the affinity of αCD for MCT oil. Scanning electron microscopy revealed that the MCT oil/αCD complexes can transformed into the precipitated solid complexes at high αCD concentration. Thus, the MCT oil/αCD complexes will be used as solid particles to stabilize Pickering NEs for further studies.