Cyclodextrin (CD) complexation is widely used for the solubilization of poorly soluble drugs in the pharmaceutical industry. Current research was to develop a highly soluble lutein–cyclodextrin multiple-component delivery system (lutein–CD-MCDS) by combined modeling and experimental approaches. Both phase solubility diagram and molecular dynamics (MD) simulation results revealed that the interactions between lutein and CDs were very weak, which confirmed the insignificant solubility improvement of lutein–CD binary system. On the basis of theoretical calculation and preliminary CD studies, lutein–CD-MCDS was developed with over 400-fold solubility improvement after formulation screening. MD simulation indicated that the auxiliary polymers of TWEEN 80 and poloxamer 188 in the lutein–CD-MCDS introduced bridged interaction between lutein and γ-CD to increase the solubility, dissolution rate, and stability of the complex. The lutein–CD-MCDS was characterized by in vitro dissolution test, differential scanning colorimetry (DSC), Fourier transform infrared spectroscopy (FT-IR), scanning electron microscopy (SEM), and powder X-ray diffraction (PXRD). Moreover, lutein–CD-MCDS had significantly higher uptake in Caco-2 cells than free lutein. The relative bioavailability of the lutein–CD-MCDS increased to 6.6-fold compared to pure lutein, and to 1.2-fold compared with commercial lutein soft capsules. In conclusion, the highly soluble lutein–CD-MCDS with significant improvement in both the solubility and bioavailability was developed and characterized by combined modeling and experimental approaches. Our research indicates that computer-aided formulation design is a promising approach for future formulation development.