Complexes of β-cyclodextrin (β-CD) and caffeine (Caf) with biophenols present in olive and olive oil (tyrosol, hydroxytyrosol, homovanillic acid, 3,4-dihydroxyphenylacetic acid, and protocatechuic acid) were investigated by NMR spectroscopy and thermodynamical-molecular dynamic studies to verify the formation of supermolecular aggregates. The obtained results indicated that the investigated biophenols form inclusion complexes with β-CD in a molar ratio of 1:1 in aqueous solution having binding constant values from 10- to 40-fold bigger than those of the corresponding complexes with Caf. Then, β-CD preferentially encloses the biophenol molecule, decreasing its bitter taste and, at the same time, preserving it against chemical and physical decomposition reactions that occur during storage.