A new cholesteryl-cyclodextrin derivative, obtained by grafting a single cholesterol on a cyclodextrin, was proved suitable for the manufacture of nanocapsules. The chemical structure of Chol-betaCD-Ac was assessed using high resolution 1H-NMR. These nanocapsules were loaded with a lipophilic drug, i.e., vitamin A propionate (PRVA) which is a highly unstable and poorly water soluble molecule with a real interest in therapeutic. The oily nature of vitamin A propionate leads to the formation of nanocapsules with a reproductible size distribution and a long term stability. The colloidal suspension can be used to form a gel which allow to achieve penetration in the skin of the PRVA encapsulated.