Previously synthesized 1,2,4-thiadiazole derivatives displayed an activity in the treatment of Alzheimer’s disease; however, these compounds are poorly soluble in aqueous solutions. Inclusion complex formation with cyclodextrins is proposed for the development of water-soluble dosage forms of 1,2,4-thiadiazoles under study. To this end, binding of 1,2,4-thiadiazole derivatives with α-, β- and γ-cyclodextrins as well as with modified β-cyclodextrins was investigated by isothermal titration calorimetry, ¹H NMR and UV–Vis spectroscopy in aqueous buffered solution (pH = 7.4) at 298.15 K. The detailed analysis of the thermodynamic parameters of complex formation is presented. The structure of 1,2,4-thiadiazole/cyclodextrin complexes was evaluated on the basis of 2D ¹NMR (ROESY) experiments. The influence of structural factor (dimensions of macrocyclic cavity, modification of the host external surface, structure of guest molecules) on the thermodynamics and binding mode was discussed.