Cyclodextrins (CyDs) in nano drug delivery systems have received much attention in pursuit of good compatibility, negligible toxicity, and improved pharmacokinetics of drugs. Their unique internal cavity has widened the application of CyDs in drug delivery based on its advantages. Besides this, the polyhydroxy structure has further extended the functions of CyDs by inter- and intramolecular interactions and chemical modification. Furthermore, the versatile functions of the complex contribute to alteration of the physicochemical characteristics of the drugs, significant therapeutic promise, a stimulus-responsive switch, a self-assembly capability, and fiber formation. This review attempts to list recent interesting strategies regarding CyDs and discusses their roles in nanoplatforms, and may act as a guideline for developing novel nanoplatforms. Future perspectives on the construction of CyD-based nanoplatforms are also discussed at the end of this review, which may provide possible direction for the construction of more rational and cost-effective delivery vehicles.