In this paper, we reported the molecular entrapment performance of hydroxypropyl-beta-cyclodextrin (HPβCD) and hydroxypropyl-gamma-cyclodextrin (HPγCD) electrospun nanofibers (NF) for two common volatile organic compounds (VOCs); aniline and benzene. The encapsulation efficiency of CD samples were investigated depending on the various factors such as; CD form (NF and powder), electrospinning solvent (DMF and water), CD (HPβCD and HPγCD) and VOCs (aniline and benzene) types. BET analysis indicated that, electrospun CD NF have higher surface area compared to their powder form. In addition DMA measurement provided information about the mechanical properties of CD NF. The encapsulation capability of CD NF and CD powder was investigated by 1H-NMR and HPLC techniques. The observed results suggested that, CD NF can entrap higher amount of VOCs from surroundings compared to their powder forms. Besides, molecular entrapment efficiency of CD NF also depends on CD, solvent and VOCs types. The inclusion complexation between CD and VOCs was determined by using TGA technique, from the higher decomposition temperature of VOCs. Finally, our results were fortified by the modeling studies which indicated the complexation efficiency variations between CD and VOC types. Here, the inclusion complexation ability of CD molecules was combined with very high surface area and versatile features of CD NF. So these findings revealed that, electrospun CD NF can serve as useful filtering material for air filtration purposes due to their molecular entrapment capability of VOCs.