Cyclodextrins (CDs) are host systems with inherent capability for inclusion complex formation with various molecular entities, mostly hydrophobic substances. Host CDs are highly accommodative to water molecules as well and usually contain water in the native state. There is still an ongoing discussion on both the total number of water molecules and their preferred binding position inside the cavities of the CDs. To understand the hydration/dehydration properties of γ-CD (the largest of the three most abundant native CDs), the main experimental methods applied in this study were differential scanning calorimetry (DSC) and thermogravimetric analysis (TGA). By coupling these techniques with density functional theory (DFT) calculations we try to shed some light on the mechanism of the γ-CD hydration and to address some unanswered questions: (i) what are the preferable locations for water molecules in the macrocyclic cavity (“hot spots”); (ii) what are the major factors contributing to the stability of the water cluster in the CD interior; (iii) what type of interactions (i.e., water–water and/or water–CD walls) contribute to the stability of the water assemble; (iv) how does the mechanism of the γ-CD hydration compare with those of its α-CD and β-CD counterparts.