The present work aimed to investigate inclusion complexes of squalene with various cyclodextrins (native β-cyclodextrin and methyl-β-cyclodextrin). The production of squalene-β-cyclodextrin inclusion complex was obtained using Response Surface Methodology and obtained inclusion complexes were studied with FTIR spectroscopy, X-ray diffractometry, thermal analysis, and 1H-NMR spectrometry. At the same time, squalene content was determined by reversed-phase high-performance liquid chromatography. All results confirmed that squalene was successfully involved in the cyclodextrin cavities. Optimizing the condition in preparation for the squalen-β-cyclodextrin inclusion complex yielded 54.3% with squalene content of 9.01%. The essential difference for the inclusion complex of squalene with methylated beta-cyclodextrin was that no precipitate formed in the initial mixture, and the complex was more efficiently dispersed in water. The conclusions of the inclusion complex formation were confirmed by computer simulation by optimizing the complex geometry using the DFT, MM2, and MP3 methods.