Itraconazole is an antifungal agent included in the triazole pharmacological classification that belongs to the BCS class II, characterized by a low solubility in an aqueous medium (of 1 ng/mL, at neutral pH), which is frequently translated in a low oral bioavailability but with a high permeability. In this sense, it is necessary to find solutions to increase/improve the solubility of itraconazole in the aqueous environment. The main purpose of this study is the preparation and analysis of five different guest–host inclusion complexes containing intraconazole. Initially, a blind docking process was carried out to determine the interactions between itraconazole and the selected cyclodextrins. The second step of the study was to find out if the active pharmaceutical ingredient was entrapped in the cavity of the cyclodextrin, by using spectroscopic and thermal techniques. Also, the antifungal activity of the inclusion complexes was studied to examine if the entrapment of itraconazole influences the therapeutic effect. The results showed that the active substance was entrapped in the cavity of the cyclodextrins, with a molar ratio of 1:3 (itraconazole–cyclodextrin), and that the therapeutic effect was not influenced by the entrapment.