Antioxidants are essential bioactive compounds widely recognized for their health benefits in preventing oxidative stress-related diseases. However, many lipophilic antioxidants suffer from poor aqueous solubility, low chemical stability, and limited bioavailability, restricting their application in food, nutraceutical, and pharmaceutical industries. Cyclodextrins (CDs), a class of cyclic oligosaccharides with a hydrophilic exterior and lipophilic interior, present an effective strategy to encapsulate and deliver these compounds by improving their solubility, stability, and therapeutic efficacy. This review critically examines the structural features and derivatives of cyclodextrins relevant for antioxidant encapsulation, mechanisms and thermodynamics of inclusion complex formation, and advanced characterization techniques. It evaluates the influence of CD encapsulation on the oral bioavailability and antioxidant activity of various lipophilic antioxidants supported by recent in vitro and in vivo studies. Moreover, sustainable preparation methods for CD complexes are discussed alongside safety and regulatory considerations. The comprehensive synthesis of current knowledge contributes to guiding the rational design and development of CD-based antioxidant nutraceuticals, addressing formulation challenges while promoting efficacy and consumer safety.