A selective inclusion of cinnamyl acetate (CAc) is observed during the complexation of CAc and cinnamaldehyde (CA) with β‐cyclodextrin (β‐CD) in aqueous solution. To demonstrate the potential application of β‐CD for the separation of CAc and CA, the preferential affinity of β‐CD for CAc over CA was studied from conformational and thermodynamic points of view. Determination of the complexation geometries, performed by 1H and 2D (XRD), confirmed the inclusion capacity of the β‐CD cavity for CAc and CA. From the stability constants measured by ultraviolet‐visible (UV–Vis) spectroscopy and thermodynamic parameters measured by isothermal titration microcalorimetry, it was found that compared to CA, hydrophobic and hydrogen bonding interactions jointly promote CAc to form a more stable β‐CD binding complex with 1:1 stoichiometry. Furthermore, the higher binding affinity of β‐CD for CAc (over CA) was investigated theoretically in terms of binding energy and inclusion geometries. The separation of the equimolar CAc–CA mixture was achieved by inclusion complexation in β‐CD aqueous solution. The effects of the experimental conditions, such as the polarity of the solvent and guest/host molar ratio, on separation performance were investigated. Under the optimized conditions, the selective inclusion procedure exhibited a CAc/CA separation factor of 3.5, which remained stable after five cycles, indicating that β‐CD is a highly reusable host material.