Hydrogels possess porous structures, which are widely applied in the field of materials and biomedicine. As a natural oligosaccharide, cyclodextrin (CD) has shown remarkable application prospects in the synthesis and utilization of hydrogels. CD can be incorporated into hydrogels to form chemically or physically cross-linked networks. Furthermore, the unique cavity structure of CD makes it an ideal vehicle for the delivery of active ingredients into target tissues. This review describes useful methods to prepare CD-containing hydrogels. In addition, the potential biomedical applications of CD-containing hydrogels are reviewed. The release and degradation process of CD-containing hydrogels under different conditions are discussed. Finally, the current challenges and future research directions on CD-containing hydrogels are presented.