An inclusion complex (IC) composed of a hydrofluoroether (HFE) guest and a β-cyclodextrin (β-CD) host was newly prepared, and the crystalline structure and the thermal stability of the IC were examined using several analytical methods, including wide-angle X-ray diffraction (WAXD), solid-state NMR, thermogravimetric analysis (TGA), TG–mass spectrometry (TG–MS), and quantum chemical calculation. The WAXD patterns and elemental analysis identified that the IC of an HFE/β-CD form of a channel-type structure, in which one HFE molecule is included in a common cavity of two β-CD molecules. TGA and TG–MS analysis indicated that the HFE molecules included in β-CD are hardly evaporated or degraded up to the decomposition temperature of the β-CD host. Solid-state 13C NMR indicated that the β-CD ring structure was deformed by including an HFE molecule in it, and that the 19F NMR signals of the HFE guest were significantly shifted to higher frequencies by the inclusion due to the dielectric media effect in the cavity of β-CD. Moreover, the 19F NMR signals of HFE included in IC were further shifted after annealing at 150 °C, which reflected structural changes in HFE/β-CD IC caused at elevated temperatures. The WAXD patterns also confirmed that the packing structure along the crystalline b-direction of HFE/β-CDs, which penetrates the cavities of β-CDs, was compressed by annealing and transformed to a more stable structure.