Amphiphilic cyclodextrin (CD) has been the object of growing scientific attention because of its two recognition sites, the cavity and the apolar heart, formed by self-assembly. In the present study, mono[6-deoxy-6-(octadecanamido)]-β-CD and mono[6-deoxy-6-(octadecenamido)]-β-CD were successfully synthesized by reacting mono-6-amino-6-deoxy-β-CD with N-hydroxysuccinimide esters of corresponding fatty acids in DMF. The structures were analyzed using nuclear magnetic resonance spectroscopy and mass spectrometry. The amphiphilic β-CDs were able to form self-assembled nano-vesicles in water, and the supramolecular architectures were characterized using fluorescence spectroscopy, dynamic light scattering, and transmission electron microscopy. Using the cavity-type nano-vesicles, all-trans-retinol was efficiently encapsulated; it was then stabilized against the photo-degradation. Therefore, the present fatty amide-β-CD conjugate will be a potential molecule for carrier systems in cosmetic and pharmaceutical applications.