Fragrance and flavor capsules are generally dried into powders due to the convenience of preservation and transportation, while drying has great effect on encapsulation. In this study, osmanthus flavor (OF) and hydroxypropyl‐β‐cyclodextrin (HP‐β‐CD) were used to prepare OF and HP‐β‐CD inclusion complex (OF‐CD). OF‐CD powders were obtained with oven‐drying and freeze‐drying, separately. The effect of drying methods was investigated with the morphology and odor evaluation first. The chemical structure and flavor loading ratio of OF‐CDs were determined by Fourier transform infrared spectroscopy (FTIR) and Gas chromatography‐mass spectrometry (GC‐MS). The flavor was successfully be encapsulated by HP‐β‐CD forming OF‐CD inclusion complex. Oven‐drying led to compact blocky solid, while freeze‐drying resulted in porous morphology. The amount of flavor in OF‐CD with oven‐drying (48.61 μg⁄g) was found lower than that in OF‐CD with freeze‐drying (58.1 μg⁄g). In particular, the content of alcoholics in OF‐CD with oven‐drying (11.8 μg⁄g) was much lower than that in OF‐CD with freeze‐drying (19.04 μg⁄g). Thermogravimetric analysis (TGA) showed that the average activation energy of OF‐CD with oven‐drying (66.3‐135.4 kJ mol−1) was higher than OF‐CD with freeze‐drying (53.0‐100.7 kJ mol−1) by 13.3‐34.7 kJ mol−1. More intermolecular hydrogen bonds in OF‐CD with freeze‐drying led to high encapsulation of partial components; however, they are not thermostable, resulting in fast release at high temperature. The better thermal stability of OF‐CD with oven‐drying makes itself a better candidate for flavor encapsulation for cooking at high temperature.