Among various cavitand molecules, cyclodextrins are extensively studied due to their ability to form host-guest complexes with small hydrophobic molecules. Aiming to explore cyclodextrin implementation on the scopes related to the environmental pollution monitoring or remediation, extensive studies for understanding the cyclodextrin-based host-guest complex formation with selected targeted substances are conducted. In this context, two polycyclic aromatic hydrocarbons, naphthalene and fluoranthene as well as toluene as a member of volatile organic compounds, were studied regarding their ability to encapsulate into cyclodextrin cavities. Synthesised complexes were examined by thermogravimetric analysis combined with Raman spectroscopy. The obtained results demonstrated that the size between targeted molecules and the cyclodextrin cavities strongly correlates with its ability to engage in complexation. Thus, this latter parameter plays an important role in the inclusion complex formation as well as in the strength of the interaction between the molecules.