The aggregation of cyclodextrins (CD) in aqueous solution is an old, yet still vastly unexplored topic that has been studied at least since the 1980s. At that time, few authors took into consideration the possibility of formation of aggregates for the interpretation of thermodynamic and thermophysical properties of CDs in aqueous solution. The aggregates appear at quite low CD concentrations and seem to encompass only a small number of CD molecules. They also occur in water in the presence of hydrophobic or amphiphilic moieties, including surfactants, assuming a preassembled state with the hydrophobic chains threading through one or two CDs. After a long period in which it has been neglected, CD aggregation is now a hot topic and one far from gathering consensus. In this chapter, a timely and critical review on the phenomenon of CD aggregation and the respective supramolecular properties, including some computational rationales, will be presented. A comprehensive summary of CD aggregates studied to date, indicating the formation conditions, characterization techniques, and applications, is also provided.