Cyclodextrins (CDs) are known to bind surfactant molecules below the surfactant critical micelle concentration (CMC); however, interactions of CDs with surfactant micelles (above the CMC) are not well understood. In particular, direct structural evidence of the location of CDs in the different subphases found in micellar solutions is lacking. We have utilized small-angle neutron scattering (SANS) with contrast matching to probe the localization of a-cyclodextrin (a-CD) and 2-hydroxypropyl-beta-cyclodextrin (HP beta-CD) in sodium dodecyl sulfate (SDS) micelles in aqueous (D2O) solutions. SANS data from solutions containing either hydrogenated or deuterated surfactants were analyzed by considering three different scenarios pertaining to the localization of cyclodextrin, either all in solution or some in the micelle shell or some in the micelle core, and were simultaneously fitted using the core-shell prolate ellipsoid form factor and the Hansen-Hayter-based structure factor. The scenario that considered a fraction of CD to localize in the micelle core well described the SANS data from both hydrogenated and deuterated SDS-CD-D2O solutions, while the other two scenarios did not. Among the various structural and interaction parameters obtained from this analysis, it emerged that the micelle core consisted of up to similar to 10% HP beta-CD or similar to 16% a-CD with respect to the total number of molecules (surfactants and CDs) present in the micelle at 25 mM SDS, and up to 14% HP beta-CD or 28% alpha-CD at 50 mM SDS. This is the first study that provides direct evidence on the location of cyclodextrin in the core of surfactant micelles. An improved understanding of CD interactions with surfactants and lipids would enable better strategies for drug encapsulation and delivery with CDs.