A linear dextrin (LD)-conjugated linoleic acid (CLA) inclusion complex was prepared using LD obtained from debranched waxy corn starch as an encapsulation wall material. The aim was to prepare a nontoxic CLA product with improved water solubility and controlled release in small intestine by encapsulating CLA with the water-soluble LD. The optimal complexation temperature, volume of ethanol used to dissolve CLA, and mass ratio of LD to CLA were 30°C, 1 mL, 12:1, respectively. Thermogravimetric analysis and Fourier transform infrared spectroscopy showed that CLA was successfully encapsulated by LD. The solubility of the LD-CLA complex greatly improved from 62.64 to 91.05% when the temperature was increased from 20 to 90°C. A total of 34.1% CLA of the LD-CLA complex was released into a simulated small intestine environment. Therefore, LD can improve the solubility of the complex and enable the targeted delivery of functional lipids and other bioactive components to the small intestine.