The incorporation of phosphorothioate linkages has recently been extensively employed in therapeutic oligonucleotides. For their separation and quality control, new high‐efficient and high‐sensitive analytical methods are needed. In this work, a new affinity capillary electrophoresis method has been developed and applied for the separation of a potential anticancer drug, 2′,3′‐cyclic diadenosine diphosphorothioate (Rp, Rp) (ADU‐S100), and three recently newly synthesized diastereomers of its difluorinated derivative, 3′,3′‐cyclic di(2′‐fluoro, 2′‐deoxyadenosine phosphorothioate). The separation was performed in the various background electrolytes (BGEs) within a pH range 5–9 using several native and derivatized cyclodextrins (CDs) as chiral additives of the BGE. Relatively good separations were obtained with β‐, γ‐, and 2‐hydroxypropyl‐γ‐CDs in some of the BGEs tested. However, the best separation was achieved using the 2‐hydroxypropyl‐β‐CD chiral selector at 43.5 mM average concentration in the BGE composed of 40 mM Tris, 40 mM tricine, pH 8.1. Under these conditions, all the previous four cyclic dinucleotides (CDNs) were baseline separated within 4 min. Additionally, the average apparent binding constants and the average actual ionic mobilities of the complexes of all four CDNs with 2‐hydroxypropyl‐β‐CD in the above BGE were determined. The formed complexes were found to be relatively weak, with the average apparent binding constants in the range of 12.2–94.1 L mol−1 and with the actual ionic mobilities spanning the interval (−7.8 to −12.7) × 10−9 m2 V−1 s−1. The developed method can be applied for the separation, analysis, and characterization of the above and similar CDNs.