Cyclodextrins (CDs) can enhance the stability and bioavailability of pharmaceutical compounds by encapsulating them within their cavities. This study utilized molecular dynamics simulations to investigate the interaction mechanisms between hydrocortisone (HC) and various methylated CD derivatives. The results reveal that the loading of HC into CD cavities follows different mechanisms depending on the degree and position of methylation. Loading into βCD and 6-MeβCD was more complete, with the hydroxyl groups of HC facing the primary hydroxyl rim (PHR) and the ketone side facing the secondary hydroxyl rim (SHR). In contrast, 2,3-D-MeβCD and 2,6-D-MeβCD showed a different loading mechanism, with the ketone side facing the PHR and the hydroxyl groups facing the SHR. The root mean square fluctuation (RMSF) analysis demonstrated that methylation increases the flexibility of CD heavy atoms, with 3-MeβCD and 2,3-D-MeβCD exhibiting the highest flexibility. However, upon inclusion of HC, 3-MeβCD, 2,3-D-MeβCD, 2-MeβCD, and 6-MeβCD showed a significant reduction in flexibility, suggesting a more rigid structure that effectively retains HC within their cavities. The radial distribution function revealed a significant reduction in the number of water molecules within the innermost layer of the methylated CD cavities, particularly in TMeβCD, indicating a decrease in polarity. The presence of HC led to the release of high-energy water molecules, creating more favorable conditions for HC loading. Conformational analysis showed that methylation caused a partial decrease in the area of the PHR, a significant decrease in the area of the middle rim, and a notable decrease in the area of the SHR. The loading of HC increased the area of the PHR in most derivatives, with the most pronounced increase observed in 2,6-D-MeβCD and 6-MeβCD. The analysis of interaction energies and binding free energies demonstrated that the binding of HC to methylated CD derivatives is thermodynamically more favorable than to βCD, with the strongest association observed for 6-MeβCD, 2-MeβCD, and 2,3-D-MeβCD.