We have proposed a new strategy for preparing free-standing nanofibrous webs from an inclusion complex (IC) of a well-known flavor/fragrance compound (limonene) with three modified cyclodextrins (HPβCD, MβCD, and HPγCD) via electrospinning (CD/limonene-IC-NFs) without using a polymeric matrix. The experimental and computational modeling studies proved that the stoichiometry of the complexes was 1:1 for CD/limonene systems. MβCD/limonene-IC-NF released much more limonene at 37, 50, and 75 °C than HPβCD/limonene-IC-NF and HPγCD/limonene-IC-NF because of the greater amount of preserved limonene. Moreover, MβCD/limonene-IC-NF has released only 25% (w/w) of its limonene, whereas HPβCD/limonene-IC-NF and HPγCD/limonene-IC-NF released 51 and 88% (w/w) of their limonene in 100 days, respectively. CD/limonene-IC-NFs exhibited high antibacterial activity against E. coli and S. aureus. The water solubility of limonene increased significantly and CD/limonene-IC-NFs were dissolved in water in a few seconds. In brief, CD/limonene-IC-NFs with fast-dissolving character enhanced the thermal stability and prolonged the shelf life along with antibacterial properties could be quite applicable in food and oral care applications.