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Supramolecular systems formed by the binding of several cyclodextrins (CDs) to polymers or lipids, either via non-covalent or covalent links, open a wide range of possibilities for the delivery of active substances. CDs can perform as multifunctionalizable cores to which very diverse (macro)molecules and drugs can be conjugated. Grafting with amphiphilic molecules can lead to nanoassemblies exhibiting a variety of architectures. CDs can also polymerize with other CDs or can be used to functionalize preexisting polymers to form polymers/networks with enhanced capability to form inclusion complexes. Alternatively, CDs can be exploited as transient cross-linkers to form poly(pseudo)rotaxane-based networks or zipper-like assemblies. Combination of mutifunctionality and complexation ability of CDs has been shown to be useful to develop depot-like formulations and colloidal nanocarriers with improved performances regarding easiness of administration, protection of the encapsulated substances, control of the delivery rate, and cell interactions. The aim of this review is to provide an overall view of the diversity of designs of CD-based supramolecular nanosystems with a special focus on the advances materialized in the last five years, including clinical trials.