While the solubility of native (alpha, beta-, gamma-cyclodextrins (CDs) in water rises with temperature, the opposite is true for their methylated derivatives (mCDs; per-dimethylated beta-CD and per-trimethylated gamma-CD). The mCDs are well-soluble in cold water and crystallize upon heating, which we associate with the hydrophobic effect. To study the hydrophobic effect and hydration of CDs and mCDs dissolved in water (D2O), we performed small-angle X-ray and neutron scattering (SAXS and SANS) measurements. The experimental scattering curves were put on absolute scale and compared to scattering curves calculated from crystal structures using the cube method. The results of the comparison indicate that (i) in solution, CDs and mCDs are in monomeric form, (ii) van der Waals and solute excluded volumes can be related by introducing a shell of a thickness that correlates with the solute's structure and solute-water interactions, and (iii) the SAXS curves calculated under the assumption of a uniform distribution of electron density in the solute molecules agree with experimental ones for CDs, but not for mCDs. The temperature and concentration dependence of SAXS curves is significant for mCDs and weak for CDs and is discussed in terms of solute-solute interactions. Specifically, these interactions become more attractive in solutions of mCDs with increasing temperature, concentration, or both, in accord with mCDs' negative temperature coefficient of solubility in water.