The poor water solubility of alfaxalone (less than 5 micrograms/mL), a useful steroid anesthetic agent, was dramatically increased via complexation with a series of four cyclodextrins. The most effective agent was 2-hydroxypropyl-beta-cyclodextrin (2HPCD) which solubilized alfaxalone in a linear manner as a function of concentration. At a 2HPCD concentration of 50% w/v, approximately 80 mg/mL of alfaxalone was dissolved indicating an increase in aqueous solubility of over four orders of magnitude. The cyclodextrin solution was stable to autoclaving and could be conveniently lyophilized to yield a solid product.