This study evaluated similarities/dissimilarities of raw and processed chicken breast and thigh lipids that were complexed by β-cyclodextrin, using a combined FTIR–PCA technique. Lipid fractions were analyzed as non-complexed and β-cyclodextrin-complexed samples via thermogravimetry, differential scanning calorimetry and ATR-FTIR. The lipid complexation reduced the water content to 7.67–8.33%, in comparison with the β-cyclodextrin hydrate (~14%). The stabilities of the complexes and β-cyclodextrin were almost the same. ATR-FTIR analysis revealed the presence of important bands that corresponded to the C=O groups (1743–1744 cm−1) in both the non-complexed and nano-encapsulated lipids. Furthermore, the bands that corresponded to the vibrations of double bonds corresponding to the natural/degraded (cis/trans) fatty acids in lipids appeared at 3008–3011 and 938–946 cm−1, respectively. The main FTIR bands that were involved in the discrimination of raw and processed chicken lipids, and of non-complexed and complexed lipids, were evaluated with PCA. The shifting of specific FTIR band wavenumbers had the highest influence, especially vibrations of the α(1→4) glucosidic bond in β-cyclodextrin for PC1, and CH2/3 groups from lipids for PC2. This first approach on β-cyclodextrin nano-encapsulation of chicken lipids revealed the possibility to stabilize poultry fatty components for further applications in various ingredients for the food industry.