Coronavirus disease-19 (COVID-19) emerged in December 2019 and quickly spread, giving rise to a pandemic crisis. Therefore, it triggered tireless efforts to identify the mechanisms of the disease, how to prevent and treat it, and to limit and hamper its global dissemination. Considering the above, the search for prophylactic approaches has led to a revolution in the reglementary pharmaceutical pipeline, with the approval of vaccines against COVID-19 in an unprecedented way. Moreover, a drug repurposing scheme using regulatory-approved antiretroviral agents is also being pursued. However, their physicochemical characteristics or reported adverse events have sometimes limited their use. Hence, nanotechnology has been employed to potentially overcome some of these challenges, particularly cyclodextrins. Cyclodextrins are cyclic oligosaccharides that present hydrophobic cavities suitable for complexing several drugs. This review, besides presenting studies on the inclusion of antiviral drugs in cyclodextrins, aims to summarize some currently available prophylactic and therapeutic schemes against COVID-19, highlighting those that already make use of cyclodextrins for their complexation. In addition, some new therapeutic approaches are underscored, and the potential application of cyclodextrins to increase their promising application against COVID-19 will be addressed. This review describes the instances in which the use of cyclodextrins promotes increased bioavailability, antiviral action, and the solubility of the drugs under analysis. The potential use of cyclodextrins as an active ingredient is also covered. Finally, toxicity and regulatory issues as well as future perspectives regarding the use of cyclodextrins in COVID-19 therapy will be provided.