In the present study, methyl jasmonate (MeJa) was included in 2-hydroxypropyl-β-cyclodextrin (HPβCD) by grinding (M1), freeze drying (M2), co-precipitation + freeze drying (M3) and by applying supercritical carbon dioxide (M4). FT-IR/ATR, FT-Raman, TGA, and DSC analyses of the complexation products confirmed that MeJa/HPβCD complexes were formed by the four different examined methods of inclusion. FT-IR/ATR supported the inclusion, mainly based on the reduction of intensity of absorption at the wavelength of maximum absorbance of free MeJa (1733 cm-1), which was 27.69 au before inclusion. From these results, M3 (2.29 au) and M4 (0.90 au) were the most efficient techniques for complexation. TGA, and DSC analyses pointed out that the complexes formed by the methods M3 and M4 had the least... loss of mass below approximately 305°C (the temperature that free HPβCD starts to decompose thermally). Except for M1, the results of antioxidant activity (AA) based on the DPPH assay revealed that the AA of the inclusion compounds were higher than that of free MeJa (α = 0.05). The best methods in terms of AA and thermal stability of the formed inclusion compounds were M3 and M4.