Cyclodextrins are capable of forming non-covalent host-guest inclusion complexation with variety of molecules in order to enhance water-solubility and thermal stability of such hydrophobic and volatile molecules. Menthol, an efficient antibacterial and flavour/fragrance agent, is used in various applications like food, pharmacy, cosmetics, however, its low water-solubility and high volatility somewhat limit its application. In this study, menthol/cyclodextrin-inclusion complex (menthol/CD-IC) was formed in highly concentrated aqueous solution by using hydroxypropyl-β-cyclodextrin (HPβCD) and hydroxypropyl-γ-cyclodextrin (HPγCD). The phase solubility studies and computational modeling studies revealed that menthol and these two CDs (HPβCD and HPγCD) formed stable inclusion complexes with the optimal molar ratio of 1:1 (menthol:CD) and inclusion complex formation enhanced the water-solubility of menthol. The electrospinning of nanofibers (NFs) from highly concentrated aqueous solutions (160%, w/v) of menthol/CD-IC was successfully performed without using additional fiber forming polymer and bead-free and uniform menthol/CD-IC NFs in the form of self-standing and flexible nanofibrous webs were produced. The initial molar ratio (1:1, menthol:CD) of the menthol/CD-IC in the solutions was mostly preserved in the menthol/CD-IC NFs (above 0.70:1.00, menthol:CD). The water-solubility of menthol was enhanced and menthol/CD-IC NFs have shown fast-dissolving character. The slow-release of menthol was achieved for menthol/CD-IC NFs, and the evaporation of menthol was shifted to much higher temperature (up to 275 °C) for menthol/CD-IC NFs which proved the high-temperature stability for menthol due to inclusion complexation.