Steroid hormones play a crucial role in the body by acting as chemical messengers. They are, however, poorly soluble in water, and cyclodextrins can increase their solubility thus leading to increased bioavailability when used in drug formulations. Accuracy in the prediction of the free energy of binding of cyclodextrin/steroid inclusion complexes with simulation is important because of the potential value it brings by providing low-cost predictions of the real-life behavior of the cyclodextrin/steroid inclusion complex and the potential for high-through-put screening. Many computational methods exist, and it is therefore important to understand the ability of current theoretical models to accurately predict the free energy of binding for these inclusion complexes. We focused specifically on the estimation of the free energy of binding of inclusion complexes of four steroids: Hydrocortisone, dexamethasone, prednisolone, and 6α-methylprednisolone with native α-CD, β-CD, γ-CD, (2-hydroxy)propyl-β-CD, and sulfobutylether-β-CD by phase solubility as well as with α, β, and γ-CD by simulations. The simulations were assessed with both docking and the molecular mechanics combined with the generalized Born and surface area (MM/GBSA) continuum solvation approach. Considering the phase solubility diagram, (2-hydroxy)propyl-β-CD and sulfobutylether-β-CD dissolved more steroids in the higher concentration range as expected. The assessment of the free energy of binding obtained from the phase solubility and theory showed that the MM/GBSA method has shown promise in reliably generating accurate predictions in the field of calculating the free energy of binding of steroids/cyclodextrins with a correlation coefficient (R2) = 0.94.