Dielectric, calorimetric, and x-ray diffraction measurements were carried out on $\alpha${}-, $\beta${}-, and $\gamma${}-cyclodextrins, which are cyclic saccharides built by, respectively, six, seven, and eight glucose units connected via glycosidic linkage. Differential scanning calorimetry measurements indicated that each carbohydrate has a melting temperature located much above the temperature at which thermal decomposition begins. Moreover, calorimetric data revealed that it is possible to completely dehydrate each cyclodextrin by annealing them above 413 K. Unfortunately, it is impossible to obtain amorphous forms of cyclodextrin by simple cooling of the melt. Thus, a solid state amorphization method has been applied. X-ray diffraction studies demonstrated that by ball milling at room temperature we are able to obtain completely amorphous cyclodextrins. Finally, dielectric measurements were carried out to probe molecular dynamics in the amorphous state of cyclodextrins. It was found that there is only one relaxation process in amorphous hydrated cyclodextrins, while in dried samples two secondary relaxations are present. Moreover, we have shown that water has an enormous effect on the dynamics of both relaxation modes, i.e., with increasing content of water, the activation energy of the slow mode decreases, while that evaluated for the fast mode increases. We were not able to follow the dynamics of the structural relaxation process, because glass transition temperatures of amorphous cyclodextrins were found to lie above thermal degradation points.