Synthetic glucocorticoids such as budesonide (BUD) are potent anti-inflammatory drugs commonly used to treat patients suffering from chronic inflammatory diseases. A previous animal study reported a higher anti-inflammatory activity with a 2-hydroxypropyl-β-cyclodextrin (HPβCD)-based formulation of BUD (BUD:HPβCD). This study investigated, on cellular models (A549 and A-THP-1), the effect of BUD:HPβD in comparison with BUD and HPβCD on the effects induced by oxidative and inflammatory stress as well as the role of cholesterol. We demonstrated the protective effect afforded by BUD:HPβCD against cytotoxicity and ROS generation induced by oxidative and inflammatory stress. The effect observed for BUD:HPβCD was comparable to that observed with HPβCD with no major effect of cholesterol content. We also demonstrated (i) the involvement of the canonical molecular pathway including ROS generation, a decrease in PI3K/Akt activation, and decrease in phosphorylated/unphosphorylated HDAC2 in the effect induced by BUD:HPβCD, (ii) the maintenance of IL-8 decrease with BUD:HPβCD, and (iii) the absence of improvement in glucocorticoid insensitivity with BUD:HPβCD in comparison with BUD, in conditions where HDAC2 was inhibited. Resulting from HPβCD antioxidant and anticytotoxic potential and protective capacity against ROS-induced PI3K/Akt signaling and HDAC2 inhibition, BUD:HPβCD might be more beneficial than BUD alone in a context of concomitant oxidative and inflammatory stress.