Thalidomide is emerging as a therapeutic agent with renewed clinical importance, presenting anti-inflammatory, immunomodulatory, and antineoplasic properties. In this work, we studied the complexation of thalidomide with cyclodextrins as a strategy to circumvent the poor aqueous solubility of the drug. Thalidomide-hydroxypropyl-β-cyclodextrin complexes were obtained by kneading method and were characterized by differential scanning calorimetry, powder X-ray diffractometry, and scanning electronic microscopy. The aqueous solubility and in vitro dissolution of thalidomide were significantly improved through the complexation. Physicochemical analysis of the complexes in solid state revealed a decreased crystallinity of the complexed drug in comparison with free thalidomide. Thalidomide was able to dissociate from the complexes and permeates across intestinal epithelial Caco-2 cells with a favorable high permeability profile equivalent to that of the free drug. In summary, the present results suggest that thalidomide-hydroxypropyl-β-cyclodextrin complexes could be regarded as a promising strategy for improving the gastrointestinal absorption of thalidomide.