The application of flavoring ingredients like menthol in the food industry is hindered by their high volatility and poor thermal stability, which lead to significant losses during processing and storage. Encapsulation of flavors into porous materials to obtain inclusion complexes (ICs) has proved to be an efficient strategy. In the present study, we synthesized a series of relatively food‐safe three‐dimensional anionic cyclodextrin‐based covalent organic frameworks (CD‐COFs) with spiroborate linkages using a facile microwave‐assisted method. The high surface area and newly formed cavitied of COFs significantly enhanced the encapsulation efficiency of menthol compared to native CD materials. Our findings revealed that γ‐CD‐COF‐Li, with Li+ as the counterion, achieved superior encapsulation efficiency of 25.9%, outperforming γ‐CD‐COF‐Na, γ‐CD‐COF‐K and α‐CD‐COF‐Li under the same conditions. Thermal stability measurements show that the menthol/γ‐CD‐COF‐Li‐ICs effectively stabilize menthol against heat evaporation at elevated temperatures due to the strengthened interaction between menthol and γ‐CD‐COF‐Li. The promising results of this research suggest that rapid advancements in COF technology will provide new opportunities for enhancing the stability of flavoring ingredients in the food industry.