Drug delivery systems consist of cyclodextrins (CyDs) have kept constant attention for good compatibility, negligible toxicity, and improved pharmacokinetics of drugs. The unique hollow structure has endowed a lot of functions, such as inclusion of guest molecules, functional modification of active hydroxyl groups, and noncovalent interactions. Besides, the polyhydroxy structure has further extended the functions of CyDs by inter/intramolecular interactions and chemical modification. Furthermore, the versatile functions of the complex contribute to physicochemical characteristics alteration of the drugs, therapeutic talent, stimulus-responsive switch, self-assemble capability, and fiber formation. This review attempts to list the recent progress of CyDs and discuss their roles in the drug delivery system. Future perspectives of the construction of CyD-based drug delivery systems are also discussed at the end of this review, which may be the possible directions for the construction of more rational and cost-effective delivery vehicles.