Polyvinyl alcohol (PVA) nanofibers encapsulating eugenol (EG)/cyclodextrin (CD) inclusion complexes (IC) (EG/CD-IC) were produced via electrospinning technique in order to achieve high thermal stability and slow release of EG. In order to find out the most favorable CD type for the stabilization of EG, three types of native cyclodextrins (α-CD, β-CD, and γ-CD) were used for the formation of EG/CD-IC. In the case of PVA/EG/α-CD nanofibers, uncomplexed EG was detected indicating that α-CD is not a proper host for EG/CD-IC formation. However, for PVA/EG/β-CD-IC and PVA/EG/γ-CD-IC nanofibers, enhanced durability and high thermal stability for EG were achieved due to the inclusion complexation. The electrospun nanofibers encapsulating CD-IC of active compounds such as eugenol may be quite useful in the food industry due to the extremely large surface area of nanofibers along with specific functionality, enhanced thermal stability, and slow release of the active compounds by CD inclusion complexation.