Cyclodextrin has been found to be an attractive novel solubilizer due to its unique material properties. Absidia coerulea is widely used in steroid bioconversion. The effects of hydroxypropyl-β-cyclodextrin (HP-β-CD) on the growth, morphology, and steroid-converting activity of A. coerulea CICC 40302 were systematically studied. HP-β-CD affected A. coerulea growth, resulting in changes in its spore morphology and mycelial morphology. It induced an increase in the spore germination rate and a decrease in cell biomass at the stationary phase. Optical microscopy revealed that HP-β-CD altered the mycelial morphology and reduced the pellet compactness of A. coerulea. A convenient and feasible computing method was used to measure pellet compactness, and it demonstrated that the compactness degree of the pellet decreased as HP-β-CD increased, which could be attributed to the modification of the physical properties of the fermentation medium. Moreover, the changing of mycelial morphology influenced steroid-converting activity. The results showed that HP-β-CD had multiple concentration-dependent effects on A. coerulea cells. HP-β-CD in the proper concentration range holds great potential as a biocompatible solubilizer.