To investigate the effect of the molecular size of alkanesandthe cavity size of cyclodextrins (CDs) on the formation of interfacialhost-guest inclusion complexes, the interfacial tension (IFT)of CD (& alpha;-CD, & beta;-CD, & gamma;-CD) solutions against oils(hexadecane, dodecylbenzene) was determined by interfacial dilationalrheology measurements. The results show that the "space compatibility"between CDs and oil molecules is crucial for the formation of interfacehost-guest inclusion complexes. Hexadecane with a smaller molecularsize can form host-guest inclusion complexes with small cavitiesof & alpha;-CD and & beta;-CD, dodecylbenzene with a larger molecularsize can form interfacial aggregates with the medium-sized cavityof & beta;-CD easily, and the polycyclic aromatic hydrocarbon moleculesin kerosene can form inclusion complexes with the large cavity of & gamma;-CD. The formation of interfacial inclusion complexes leadsto lower IFT values, higher interfacial dilational modulus, nonlinearIFT responses to the interface area oscillating, and skin-like filmsat the oil-water interface. What's more, the phase behaviorof Pickering emulsions formed by CDs with different oils is explored,and the phenomena in alkane-CD emulsions are in line with the resultsin dilatation rheology. The interfacial active host-guest structurein the kerosene-& gamma;-CD system improves the stability of the Pickeringemulsion, which results in smaller emulsion droplets. This uniquespace compatibility characteristic is of great significance for theapplication of CDs in selective host-guest recognition, sensors,enhanced oil recovery, food industries, and local drug delivery.