Cyclodextrins (CDs) have been used over the past years as a promising pharmaceutical excipient in order to improve drug bioavailability by supramolecular interaction between host and guest molecules. Herein, β-cyclodextrin (βCD) and its derivatives, 2-hydroxypropyl-β-cyclodextrin (HPβCD) and methyl-β-cyclodextrin (MβCD), were used to form inclusion compounds (ICs) with sulfadiazine sodium salt (SDS). The isothermal titration calorimetry and nuclear magnetic resonance experiments confirmed the interaction between the species in solution, which were used to test in vitro against Staphylococcus aureus, Escherichia coli, Pseudomonas aeruginosa, and Klebsiella pneumoniae. The diffusion tests have revealed that the ICs were more efficient against Staphylococcus aureus and Pseudomonas aeruginosa than free SDS molecule. In addition, for Escherichia coli MβCD ICs was more effective than the other ICs and pure SDS. These results demonstrated not only the importance to understand the supramolecular interaction between host and guest molecules, but also the capability to CDs to improve drug molecules activity.