UC781, a very potent HIV-1 non-nucleoside reverse transcriptase inhibitor with extreme hydrophobicity and poor water solubility, is under development as a topical vaginal microbicide product to prevent HIV transmission. In this study, the thermodynamic behavior of the interaction between UC781 with three cyclodextrins (CDs): β-cyclodextrin (βCD), hydroxypropyl-β-cyclodextrin (HPβCD) and methyl-β-cyclodextrin (MβCD), was investigated using a reversed-phase HPLC method. A mobile phase consisting of acetonitrile: H2O (30:70) solution containing various CD concentrations was used. The retention time at different temperatures was determined to evaluate the inclusion process. The influence of βCDs on the solubility and hydrophobicity of UC781 was characterized by retention time values. The results showed that the inclusion capacity of cyclodextrins follows the order MβCD > βCD > HPβCD. An enthalpy–entropy compensation effect was also observed. In addition, the results revealed that the change of ΔH is greater than that of ΔS. These results suggested that the complexation of UC781 with βCDs is an enthalpy driven process. The modification on β-cyclodextrin will influence the inclusion process.