Herein, a new continuous preparation method for inclusion compound based on cyclodextrin supramolecular system was developed using spray drying process (SD–LT) as alternative of freeze drying (FD) with less energy consuming. In order to improve conventional spray drying methods to obtain this inclusion compounds, isothermal titration calorimetry (ITC) and nuclear magnetic resonance (2D ROESY) were used to get insights on the guest insertion into β-cyclodextrin (βCD) cavity. Sertraline hydrochloride (SRT) was used as a low water solubility drug molecule. The results demonstrated that SRT presents a preferred inclusion into βCD cavity when lower temperatures are used in the SD–LT preparation process. The physical–chemical results obtained from this new method is comparable with those obtained using the FD process, one of the most used method. In addition, inclusion compounds were tested in mice by tail suspension and open field tests and the results shown that the antidepressant-like effect for the SD–LT inclusion compounds was similar to that obtained by FD, contrary to that obtained by conventional SD method.