Complexation with cyclodextrins (CDs) is a technique that has been extensively used to increase the aqueous solubility of oils and improve their stability. In addition, this technique has been used to convert oils into solid materials. This work aims to develop inclusion complexes of Copaifera multijuga oleoresin (CMO), which presents anti-inflammatory activity, with β-cyclodextrin (β-CD) and hydroxypropyl-β-cyclodextrin (HP-β-CD) by kneading (KND) and slurry (SL) methods. Physicochemical characterization was performed to verify the occurrence of interactions between CMO and the cyclodextrins. Carrageenan-induced hind paw edema in mice was carried out to evaluate the anti-inflammatory activity of CMO alone as well as complexed with CDs. Physicochemical characterization confirmed the formation of inclusion complex of CMO with both β-CD and HP-β-CD by KND and SL methods. Carrageenan-induced paw edema test showed that the anti-inflammatory activity of CMO was maintained after complexation with β-CD and HP-β-CD, where they were able to decrease the levels of nitrite and myeloperoxidase. In conclusion, this study showed that it is possible to produce inclusion complexes of CMO with CDs by KND and SL methods without any change in CMO’s anti-inflammatory activity.