Biological activity of essential oils (EOs) has been extensively reported; however, their low aqueous solubility, high photosensitivity, and volatility compromise a broad industrial use of these compounds. To overcome these limitations, we proposed a nanoencapsulation approach to protect EOs, that aims to increase their stability and modulate their release profile. In this study, drug-in-cyclodextrin-in-liposomes encapsulating two essential oils (Lippia sidoides and Syzygium aromaticum) and their respective major compounds (thymol and eugenol) were produced by ethanol injection and freeze-dried to form proliposomes and further physicochemically characterized. Liposomes showed high physical stability over one month of storage at 4 °C, with slight changes in the mean size, polydispersity index (PDI), and zeta potential. Reconstituted proliposomes showed a mean size between 350 and 3300 nm, PDI from 0.29 to 0.41, and zeta potential between -22 and -26 mV. Differential scanning calorimetry and X-ray diffraction of proliposomes revealed a less-ordered crystalline structure, leading to high retention of the major bioactive compounds (between 73% and 93% for eugenol, and 74% and 84% for thymol). This work highlights the advantages of using drug-in-cyclodextrin-in-liposomes as delivery systems to retain volatile compounds, increasing their physicochemical stability and their promising potential to be utilized as carriers in products in the pharmaceutical, food, and cosmetic industries.