This work aimed to prepare inclusion complexes between red bell pepper pigments and β-cyclodextrin using two different procedures (i.e., magnetic stirring and ultrasonic homogenisation), to characterise the prepared inclusion complexes and to evaluate the colour stability of a selected complex added to yogurt. The mass ratio of extract to β-cyclodextrin was 1:4. The formed extract: β-cyclodextrin complexes and a physical mixture of extract and β-cyclodextrin were evaluated by differential scanning calorimetry, Fourier transform-infrared spectroscopy, proton nuclear magnetic resonance, particle size distribution and Zeta potential. The obtained data showed that ultrasonic homogenisation resulted in better yield and inclusion efficiency compared to magnetic stirring. The yogurt with the added complex produced by ultrasonic homogenisation showed slower variations for the a^∗ (redness) and b^∗ (yellowness) indices compared to yogurt with added extract, indicating a higher protection of the colour during storage.