Hydrophobic cyclodextrin (CD) nanofibers were produced by the electrospinning of peracetylated β-CD without requiring any polymer as a carrier matrix. Native β-CD was peracetylated through the reaction with acetic anhydride, and the conversion of all hydroxyl groups into acetyl was confirmed by NMR, XPS, and TGA analyses. The peracetyl modification drastically boosted the thermal stability of the β-CD molecules. The electrospinning of the peracetylated β-CD from its highly concentrated solutions (180% (w/v)) in DMF led to bead-free nanofibers, while electrospinning at the concentrations of 140 and 160% (w/v) CDs resulted in beads and beaded nanofibers, respectively. The electrospinning process parameters such as applied voltage, flow rate, and tip-to-collector distances were systematically altered to produce a uniform nanofiber structure. The flow rate had the most drastic effect on the diameter and morphology of the resultant nanofibers: A threefold rise in the fiber diameter was observed with increasing the flow rate from 0.1 to 2 mL h−1. Similarly, higher electrical field increased the fiber diameter due to higher mass flow, while boosting the tip-to-collector distance did not reveal any significant change on the fiber diameter. The stability of the peracetylated β-CD nanofibers was observed in water for 24 h without any significant morphological change; however, the dissolution of the nanofiber mat was observed with a long-time exposure to water. We demonstrated production of hydrophobic uniform CD nanofibers without using any carrier polymer.