The aim of the study was to investigate the solubility of piroxicam (Prx) depending on the inclusion complexation with various cyclodextrins (CDs) and on ethanol as a co-solvent. The phase-solubility method was applied to determine drug solubility in binary and ternary systems. The results showed that in systems consisting of the drug dissolved in ethanol–water mixtures, the drug solubility increased exponentially with a rising concentration of ethanol. The phase solubility measurements of the drug in aqueous solutions of CDs, β-CD and γ-CD exhibited diagrams of AL-type, whereas 2,6-dimethyl-β-CD revealed AP-type. The destabilizing effect of ethanol as a co-solvent was observed for all complexes regardless of the CD type, as a consequence of it the lowering of the complex formation constants. In systems with a higher concentration of ethanol, the drug solubility was increased in opposition to the decreasing complex formation constants. According to this study, the type of CDs played a more important role on the solubility of Prx, and the use of ethanol as a co-solvent exhibited no synergistic effect on the improvement of Prx solubility. The Prx solubility was increased again due to the better solubility in ethanol.