Thymoquinone (TQ) is a quinone derived from the black seedNigella sativaand has been extensively studied in pharmaceutical and nutraceutical research due to its therapeutic potential and pharmacological properties. Although the chemopreventive and potential anticancer effects of TQ have been reported, its limited solubility and poor delivery remain the major limitations. In this study, we aimed to characterize the inclusion complexes of TQ with Sulfobutylether-β-cyclodextrin (SBE-β-CD) at four different temperatures (293–318 K). Additionally, we compared the antiproliferative activity of TQ alone to TQ complexed with SBE-β-CD on six different cancer cell lines, including colon, breast, and liver cancer cells (HCT-116, HT-29, MDA-MB-231, MCF-7, SK-BR-3, and HepG2), using an MTT assay. We calculated the thermodynamic parameters (ΔH, ΔS, and ΔG) using the van’t Holf equation. The inclusion complexes were characterized by X-ray diffraction (XRD), Fourier transforms infrared (FT-IR), and molecular dynamics using the PM6 model. Our findings revealed that the solubility of TQ was improved by ≥60 folds, allowing TQ to penetrate completely into the cavity of SBE-β-CD. The IC50values of TQ/SBE-β-CD ranged from 0.1 ± 0.01 µg/mL against SK-BR-3 human breast cancer cells to 1.2 ± 0.16 µg/mL against HCT-116 human colorectal cancer cells, depending on the cell line. In comparison, the IC50values of TQ alone ranged from 0.2 ± 0.01 µg/mL to 4.7 ± 0.21 µg/mL. Overall, our results suggest that SBE-β-CD can enhance the anticancer effect of TQ by increasing its solubility and bioavailability and cellular uptake. However, further studies are necessary to fully understand the underlying mechanisms and potential side effects of using SBE-β-CD as a drug delivery system for TQ.