The photoisomerization of methyl orange (MO) encapsulated in the cavities of alpha-, beta-, and gamma-cyclodextrins (CDs) was measured by the ultrafast transient lens (UTL) method and transient absorption spectroscopy. The signal for free MO was well-fitted to the sum of two exponential functions, except for the component of the optical Kerr effect (OKE), and their time constants were less than or similar to 1 (tau(1)) and similar to 10 ps (tau(2)). The UTL signal of the 1:1 complex, in which one MO molecule was included in one CD molecule, was almost the same as that of free MO. On the other hand, MO in two alpha-CD molecules showed slower relaxation and considerably lower yield of cis isomer. Thus, there were clear confinement effects when MO was capped at both ends by two CD molecules. The observed changes of ultrafast dynamics and yield of the isomer were explained in terms of CD-MO interactions and a steric effect. In the case of gamma-CD, which included two MO molecules as a dimer, these confinement effects were also observed even when each MO was capped on only one side (2:1 complex). These results showed that a strong intermolecular interaction was induced between two MO molecules by confinement in a nanospace and this also hindered the isomerization. In particular, the complex with two gamma-CD molecules (2:2 complex) showed significantly slower relaxation than the others, and no cis isomer was formed. It seemed that the intermolecular interaction of two MO molecules was further enhanced by photoexcitation in the 2:2 complex and this resulted in the formation of an aggregate-like intermediate in the gamma-CD nanocavity.