In the present study, we investigated the feasibility of preparation of novel controlled release systems for the delivery of essential oil used as ambient odors. The inclusion interactions of cyclodextrins (CDs) and β-cyclodextrin polymers with linalool and camphor in Lavandula angustifolia essential oil were investigated by static headspace gas chromatography (SH-GC). The stability constants with monomeric CD derivatives were determined for standard compounds and for the compounds in essential oil. All studied CDs and CD polymers reduce the volatility of the aroma compounds and stable 1:1 inclusion complexes are formed. The retention capacity of the CD derivatives was measured in static experiments. The feasibility of preparation of novel controlled release systems for the delivery of fragrances was investigated by multiple headspace extraction (MHE) experiments.