The pharmaceutical applications of cyclodextrins (CDs), cyclic oligosaccharides capable of including hydrophobic molecules inside their cavities, have been known for decades. Besides the solubilising and encapsulating abilities of natural and modified CDs due to the formation of inclusion complexes, there is an increasing interest in organized macrostructures based on CDs as potential drug delivery devices and gene carrier systems. The present review discusses first the case of drug carriers based on monomeric modified CDs (amphiphilic and CD core-star polymers), in which self-assembly plays a major role. Polyrotaxanes, i.e., CDs threaded onto a polymer chain, are then reviewed in relation to their pharmaceutical applications. Finally, covalently linked CDs, either by grafting or crosslinking, are analyzed, including more complex structures formed by assembling CDcontaining networks or chains. We have tried along this review to cover the most recent developments on these structures for drug delivery in a “beyond the cyclodextrin” approach. The review will be helpful, both for readers who want to be introduced into the world of these remarkable structures, or for specialists who are doing research in this field.