Two metal–organic framework (MOF) materials, that is, α-cyclodextrin (α-CD)-MOF-Na and α-CD-MOF-K, were successfully synthesized and exhibited excellent adsorption capacity and storage stability for ethylene gas. The ethylene encapsulation capacity of α-CD-MOF-Na and α-CD-MOF-K reached 47.4 and 52.9% (w/w), respectively, which was significantly higher than those of other materials reported such as α-CD and V-type starch. The release characteristics of ethylene inclusion complexes (ICs) were determined under different temperatures and relative humidity conditions. The ethylene gas could be stably encapsulated in α-CD-MOF-ethylene ICs at 25 °C for up to 30 days. The crystal structure of α-CD-MOFs was determined to explain their high capacity and stability for ethylene storage. Molecular simulation was used to model the location of ethylene molecules in α-CD-MOFs. Alpha-CD-MOF-Na and α-CD-MOF-K showed “8”-shaped and spindle-shaped cavity, respectively, which effectively adsorbed and stored the ethylene gas. Accelerated ripening experiments showed that 5 mg of α-CD-MOF ICs could ripen bananas within 4 days, with an effect similar to that of free ethylene gas. We suggest that α-CD-MOF materials are an excellent material for ethylene storage with potential application in industrial and agricultural areas.