The interaction of the bile salts taurocholate, taurodeoxycholate, taurochenodeoxycholate, glycocholate, glycodeoxycholate, and glycochenodeoxycholate present in man, dog, and rat with α-cyclodextrin and 2-hydroxypropyl-α-cyclodextrin was investigated by mobility shift affinity capillary electrophoresis. The cyclodextrins are applied as excipients for solubilisation of drug substances with poor aqueous solubility. Accurate determination of stability constants is challenging for weak analyte–ligand interactions such as the conjugated bile salt α-cyclodextrin interactions. A new approach for correction of medium effects due to the high additive concentrations in the background electrolyte was introduced. The use of prostaglandin A1 as an interacting marker molecule offered a more satisfactory approach for correction than the commonly employed methods based on viscosity or current ratios. The interacting marker was chosen over a non-interacting marker to avoid the difficult validation of the non-interacting properties. The investigated bile salts all interacted with α-cyclodextrin and 2-hydroxypropyl-α-cyclodextrin. Stability constants ranging from 14 to 95 M−1 were obtained with slightly higher affinities toward the substituted cyclodextrin. Molecular modelling demonstrated that the interaction between the two species involves the side chain of the bile salt. All together, these results indicate minor bile salt-mediated displacement of substances from α-cyclodextrin complexes in the small intestine.