Cyclodextrins are natural cyclic oligosaccharides with a cone shape delimiting a hydrophobic cavity. The rims of cyclodextrins can be functionalized in order to improve their properties. Based on this, cyclodextrins can be linked to polymer chains, which further allows the tuning of the polymer properties. This review describes the methods of polymer functionalization with cyclodextrins and highlights the changes in the physicochemical properties of these materials. This chapter is focused on polymers in solution and in gel states. Cyclodextrin-based polymers are evaluated by various physicochemical methods, such as rheology, calorimetry, and spectroscopy (electron paramagnetic resonance, fluorescence, nuclear magnetic resonance (NMR), Fourier transform infrared (FT-IR), etc.). Both natural and synthetic polymers are considered in this chapter.