The complexation of five polyphenols, namely trans-resveratrol, astilbin, taxifolin, ferulic acid, and syringic acid (guest molecules) with α-, β-, and γ-cyclodextrin (host molecules), was investigated by capillary electrokinetic chromatography. The binding constants were calculated based on the effective electrophoretic mobility change of guests with the addition of cyclodextrins into the background electrolyte. Because of cavity size, cyclodextrins showed structure-selective complexation property to different guest. The stability of the trans-resveratrol complexes was in the order of β- > α- > γ-cyclodextrin. The cavity size of α-cyclodextrin was too small for astilbin and taxifolin molecules, and thus they could not form complexes. The molecular size of syringic acid was too big for all cyclodextrins cavity, and no cyclodextrin could form complexes with it. Temperature studies showed that the binding constants decreased with the rise of temperature. Enthalpy and entropy values were calculated and the negative values of these parameters indicated that the complexation process was enthalpy-controlled. Van der Waals force and release of high-enthalpy water molecules from the cyclodextrins cavity played important roles in the process.