Binding properties of native α- and β-cyclodextrin towards some nitrobenzene derivatives have been studied by means of UV-vis spectrophotometry. The former host is able to form complexes having 1 : 1 and 1 : 2 stoichiometric ratios with these guests, while only 1 : 1 complexes are detected with the latter host. A careful analysis of the thermodynamic parameters for complexation equilibria, under the perspective of the enthalpy–entropy compensation effect, reveals that binding abilities of the two different hosts are subject to different features.