The desilked silkworm (Bombyx mori L.) pupae oil is a good source of α-linolenic acid (ALA), but selectively enriching ALA is a great technical challenge due to the presence of multiple analogues such as linoleic acid and oleic acid. To set up a simple, highly selective and low-cost combinative inclusion process for obtaining ALA concentrate from silkworm pupae oil, the effects of β-cyclodextrin (β-CD) inclusion parameters on the purity and recovery of polyunsaturated fatty acid (PUFA) were investigated; then, four types of combinative processes using β-CD and/or urea were compared. The results indicated that a two-stage combinative inclusion process was established. In the first stage, when the volume ratio of β-CD-saturated solution to free fatty acids ethanol solution was 9 v/v, the dispersion temperature and time were 60°C and 1.5 h, the freezing temperature and time were −10°C and 15 h, and the purity of ALA was raised from 15.0 to 47.6% with a recovery of 39.4%. Then, the purity of ALA was further increased to 67.4% in the second-stage operation with a corresponding recovery of 34.8% using urea complexation.