HPLC was used to study the inclusion complexes formed between various β- and γ-cyclodextrins and a series of corticosteroids related to betamethasone. Apparent association constants were measured in acetonitrile–water for a set of 13 steroids. An increase in the stability of the steroid–cyclodextrin complex is observed at lower concentrations of acetonitrile. The effects of the nature of the halide at the 9-position, the location of a double bond within the C-ring, substitution at the 9- and 11-positions, and modification of the D-ring of the steroid backbone were studied. The 11- and 17-positions were found to be critically involved in the inclusion process. Larger apparent association constants were obtained with γ-cyclodextrin (γ-CD) than with β-cyclodextrin (β-CD) due to the increased diameter of the γ-CD cavity. Van’t Hoff plots were constructed to examine the thermodynamic properties of the inclusion process. Plots constructed using retention factors were found to be nonlinear when γ-CD was present in the mobile phase. This is due to an increase in the strength of the inclusion complex as temperature decreases. Plots constructed using apparent association constants were linear, indicating that the mechanism of inclusion does not change over the range of temperatures studied (10 to 80°C). Enthalpy–entropy compensation was observed for 11 of the 13 steroids studied. The usefulness of cyclodextrins to achieve the separation of steroids in HPLC is discussed and a practical application for the analysis of a steroid and three potential impurities is described.