The diversity of cyclodextrins and their derivatives is increasing with continuous research. In addition to monomolecular cyclodextrins with different branched chains, cyclodextrin-based polymers have emerged. The aim of this review is to summarize these innovations, with a special focus on the study of applications of cyclodextrins and their derivatives in nano-delivery systems. The areas covered include nanospheres, nano-sponges, nanogels, cyclodextrin metal–organic frameworks, liposomes, and emulsions, providing a comprehensive and in-depth understanding of the design and development of nano-delivery systems.