We investigate the interfacial behavior of a new type of amphiphilic cyclic oligosaccharide obtained by grafting a phospholipid onto a methylated cyclodextrin. These compounds are able to form stable black foam films, the structure of which can be determined using X-ray reflectivity. These films consist of a highly hydrated bilayer of modified cyclodextrins which are remarkably thick due to their abundant hydration core. In the present paper, we explore the influence of cyclodextrin hydration on the film structure. The hydration rate of the films is tuned by changing the cyclodextrin methylation, by binding the modified cyclodextrins to various molecules (complex formation) and by exposing the films to IR radiation. In addition, we show that the gas permeability of these phospholipidyl-cyclodextrin films is governed by their central layer of bound water, which is an efficient barrier against gas permeation.