For many years, cyclodextrins (CDs) have been the object of attention for their capability of improving the stability, solubility and bioavailability of numerous molecules of interest, including drugs and nutraceuticals. They have low toxicity and for this reason have been employed for different routes of administration, including oral, ocular, nasal and parenteral. Among them, the hydroxypropyl-β-cyclodextrin (HP-β-CD) is the least toxic. Several physicochemical methodologies have been employed for studying cyclodextrin/guest interaction, but isothermal titration calorimetry (ITC) is the only one capable of simultaneously providing the binding constant, ΔH°, ΔS°, ΔG° and the binding stoichiometry. Here, we present the state of the art of ITC studies applied to HP-β-CD/guest complexes, discussing selected publications of the last five years, highlighting the thermodynamic factors that are decisive for optimal encapsulation.