The goal of this study was molecular modeling of cyclodextrin (CD) and carotenoid complex formation. Distinction was made between complexes resulting from interactions between carotenoids and either molecularly dispersed CDs or solid crystalline CDs, considering that both cases can occur depending on the complex formation process pathways. First, the formation of complexes from dispersed CD molecules was investigated considering five different CDs (αCD, βCD, methyl-βCD, hydroxypropyl-βCD, and γCD) and lutein, as a model carotenoid molecule. The interactions involved and the stability of the different complexes formed were evaluated according to the CD size and steric hindrance. Second, the formation of complexes between four different crystalline CDs (βCD with three different water contents and methyl-βCD) and three carotenoid molecules (lutein, lycopene, and β-carotene) was studied. The docking/adsorption of the carotenoid molecules was modeled on the different faces of the CD crystals. The findings highlight that all the CD faces, and thus their growth rates, were equally impacted by the adsorption of the carotenoids. This is due to the fact that all the CD faces are exhibiting similar chemical compositions, the three studied carotenoid molecules are rather chemically similar, and last, the water–carotenoid interactions appear to be weak compared to the CD–carotenoid interactions.