Cyclodextrin inclusion complexes (CD-ICs) can be encapsulated into electrospun nanofibers in order to achieve delivery systems having high surface area and highly porous nanofibrous structures. In this study, a well-known antioxidant molecule, α-tocopherol (α-TC) (vitamin E) was chosen as an active agent for inclusion complexation with β-cyclodextrin. Polycaprolactone (PCL) nanofibers encapsulating α-tocopherol/β-cyclodextrin inclusion complex (α-TC/β-CD-IC) which has high antioxidant activity and photostability was produced via electrospinning (PCL/α-TC/β-CD-IC-NF). The formation of α-TC/β-CD-IC was confirmed by XRD. Phase solubility studies showed An-type complex formation between α-TC and β-CD. SEM revealed that bead-free nanofibers were successfully produced from PCL/α-TC/β-CD-IC system. PCL nanofibers encapsulating α-TC without CD-IC was also produced for comparison (PCL/α-TC-NF). Antioxidant test results showed that PCL/α-TC/β-CD-IC-NF had higher antioxidant activity as compared to PCL/α-TC-NF in methanol:water (1:1) system due to the stabilization and solubility increment of α-TC in the cavity of β-CD. PCL/α-TC/β-CD-IC-NF was more stable against UV-light when compared to PCL/α-TC-NF due to the presence of inclusion complexation. In brief, PCL/α-TC/β-CD-IC-NF with the advantages of having nanofibrous structure and encapsulating CD-ICs, may serve as a novel route for administration of α-TC due to its higher antioxidant activity and better UV-light stability.