Oregano essential oil (OEO) has good antioxidant and antimicrobial activity and its incorporation into food packaging is challenging because of its intense flavor, high volatility and instability, and insolubility in aqueous systems. Additionally, the sensory perception of EO can be changed as a consequence of oxidation, heating, volatilization or chemical interactions. Cyclodextrins (CDs) can be used to avoid these inconveniences because they are able, due to their peculiar chemical structure, to encapsulate hydrophobic molecules such as OEO improving its aqueous solubility and reducing its volatility. In this work, kneading (KM) and freeze-drying (FDM) methods were evaluated to encapsulate OEO in two cyclodextrins types (α-CD and γ-CD). After, the α-CD:OEO and γ-CD:OEO inclusion complexes (ICs) were included in poly(3-hydroxybutyrate-co-3-hydroxyvalerate) (PHBV) electrospun fibers by electrospinning and annealed for film formation. Results showed that the encapsulation efficiency of oregano essential oil is influenced by both the encapsulation methods and the cyclodextrin type. The antimicrobial and antioxidant activity of the α-CD:OEO and γ-CD:OEO inclusion complexes were higher compared with pure OEO. The optimal concentration of α-CD:OEO inclusion complexes and γ-CD:OEO inclusion complexes for homogeneous and continues films formation was 15 and 25 wt%, respectively. At these concentrations, the films showed a strong antimicrobial and antioxidant activity, up to 15 days. In addition, the mechanical properties of the films were also improved (Young's modulus + 35%). In conclusion, this work shows that the encapsulation of CD:OEO inclusion complexes by electrospinning into PHBV polymeric matrix opens a new path in the development of bioactive packaging materials using EOs.