Cyclodextrins (CDs) have drawn a lot of attention from the scientific communities as a model system for host–guest chemistry and also due to its variety of applications in the pharmaceutical, cosmetic, food, textile, separation science, and essential oil industries. The formation of the inclusion complexes enables these applications in the condensed phases, which have been confirmed by nuclear magnetic resonance (NMR) spectroscopy, X-ray crystallography, and other methodologies. The advent of soft ionization techniques that can transfer the solution-phase noncovalent complexes to the gas phase has allowed for extensive examination of these complexes and provides valuable insight into the principles governing the formation of gaseous noncovalent complexes. As for the CDs’ host–guest chemistry in the gas phase, there has been a controversial issue as to whether noncovalent complexes are inclusion conformers reflecting the solution-phase structure of the complex or not. In this review, the basic principles governing CD’s host–guest complex formation will be described. Applications and structures of CDs in the condensed phases will also be presented. More importantly, the experimental and theoretical evidence supporting the two opposing views for the CD–guest structures in the gas phase will be intensively reviewed. These include data obtained via mass spectrometry, ion mobility measurements, infrared multiphoton dissociation (IRMPD) spectroscopy, and density functional theory (DFT) calculations.