Cyclodextrins (CDs) are a series of cyclic oligosaccharides formed by amylose under the action of CD glucosyltransferase that is produced by Bacillus. After being modified by polymerization, substitution and grafting, high molecular weight cyclodextrin polymers (pCDs) containing multiple CD units can be obtained. pCDs retain the internal hydrophobic-external hydrophilic cavity structure characteristic of CDs, while also possessing the stability of polymer. They are a class of functional polymer materials with strong development potential and have been applied in many fields. This review introduces the research progress of pCDs, including the synthesis of pCDs and their applications in analytical separation science, materials science, and biomedicine.