Cyclodextrins (CDs) are cyclic oligomers broadly used in food manufacturing as food additives for different purposes, e.g., to improve sensorial qualities, shelf life, and sequestration of components. In this review, the latest advancements of their applications along with the characteristics of the uses of the different CDs (α, β, γ and their derivatives) were reviewed. Their beneficial effects can be achieved by mixing small amounts of CDs with the target material to be stabilized. Essentially, they have the capacity to form stable inclusion complexes with sensitive lipophilic nutrients and constituents of flavor and taste. Their toxicity has been also studied, showing that CDs are innocuous in oral administration. A review of the current legislation was also carried out, showing a general trend towards a wider acceptance of CDs as food additives. Suitable and cost-effective procedures for the manufacture of CDs have progressed, and nowadays it is possible to obtain realistic prices and used them in foods. Therefore, CDs have a promising future due to consumer demand for healthy and functional products.