Cyclodextrins are tasteless, odorless, nondigestible, noncaloric, noncariogenic saccharides, which reduce the digestion of carbohydrates and lipids. They have low glycemic index and decrease the glycemic index of the food. They are either non- or only partly digestible by the enzymes of the human gastrointestinal (GI) tract and fermented by the gut microflora. Based on these properties, cyclodextrins are dietary fibers useful for controlling the body weight and blood lipid profile. They are prebiotics, improve the intestinal microflora by selective proliferation of bifidobacteria. These antiobesity and anti-diabetic effects make them bioactive food supplements and nutraceuticals. In this review, these features are evaluated for α-, β- and γ-cyclodextrins, which are the cyclodextrin variants approved by authorities for food applications. The mechanisms behind these effects are reviewed together with the applications as solubilizers, stabilizers of dietary lipids, such as unsaturated fatty acids, phytosterols, vitamins, flavonoids, carotenoids and other nutraceuticals. The recent applications of cyclodextrins for reducing unwanted components, such as trans-fats, allergens, mycotoxins, acrylamides, bitter compounds, as well as in smart active packaging of foods are also overviewed.