The electrospinning of nanofibers (NFs) of cinnamaldehyde inclusion complexes (ICs) with two different hydroxypropylated cyclodextrins (CDs), hydroxypropyl-β-cyclodextrin (HP-β-CD) and hydroxypropyl-γ-cyclodextrin (HP-γ-CD), was successfully performed in order to produce cinnamaldehyde/CD-IC NFs without using an additional polymer matrix. The inclusion complexation between cinnamaldehyde and hydroxypropylated CDs was studied by computational molecular modeling, and the results suggested that HP-β-CD and HP-γ-CD can be inclusion complexed with cinnamaldehyde at 1:1 and 2:1 (cinnamaldehyde/CD) molar ratios. Additionally, molecular modeling and phase solubility studies showed that water solubility of cinnamaldehyde dramatically increases with cyclodextrin inclusion complex (CD-IC) formation. The HP-β-CD has shown slightly stronger binding with cinnamaldehyde when compared to HP-γ-CD for cinnamaldehyde/CD-IC. Although cinnamaldehyde is a highly volatile compound, it was effectively preserved with high loading by the cinnamaldehyde/CD-IC NFs. It was also observed that cinnamaldehyde has shown much higher temperature stability in cinnamaldehyde/CD-IC NFs compared to uncomplexed cinnamaldehyde because of the inclusion complexation state of cinnamaldehyde within the hydroxypropylated CD cavity. Moreover, cinnamaldehyde still has kept its antibacterial activity in cinnamaldehyde/CD-IC NF samples when tested against Escherichia coli. In addition, cinnamaldehyde/CD-IC NF mats were fast-dissolving in water, even though pure cinnamaldehyde has a water-insoluble nature. In brief, self-standing nanofibrous mats of electrospun cinnamaldehyde/CD-IC NFs are potentially applicable in food, oral-care, healthcare, and pharmaceutics because of their fast-dissolving character, enhanced water solubility, stability at elevated temperature, and promising antibacterial activity.