Unprotected exposure of skin to solar ultraviolet radiation (UVR) may damage the DNA of skin cells and can lead to skin cancer. Sunscreens are topical formulations used to protect skin against UVR. The active ingredients of sunscreens are UV filters that absorb, scatter, and/or reflect UVR. Preventing the formation of free radicals and repairing DNA damages, natural antioxidants are also added to sunscreens as a second fold of protection against UVR. Antioxidants can help stabilise these formulations during the manufacturing process and upon application on skin. However, UV filters and antioxidants are both susceptible to degradation upon exposure to sunlight and oxygen. Additionally, due to their poor water solubility, natural antioxidants are challenging to formulate and exhibit limited penetration and bioavailability in the site of action (i.e., deeper skin layers). Cyclodextrins (CDs) are cyclic oligosaccharides that are capable of forming inclusion complexes with poorly soluble drugs, such as antioxidants. In this review, we discuss the use of CDs inclusion complexes to enhance the aqueous solubility of antioxidants and chemical UV filters and provide a protective shield against degradative factors. The role of CDs in providing a controlled drug release profile from sunscreens is also discussed. Finally, incorporating CDs inclusion complexes into sunscreens has the potential to increase their efficiency and hence improve their skin cancer prevention.