In drug delivery, one widely used way of overcoming the biopharmaceutical problems present in several active pharmaceutical ingredients, such as poor aqueous solubility, early instability, and low bioavailability, is the formation of inclusion compounds with cyclodextrins (CD). In recent years, the use of CD derivatives in combination with nanomaterials has shown to be a promising strategy for formulating new, optimized systems. The goals of this review are to give in-depth knowledge and critical appraisal of the main CD-modified or CD-based nanomaterials for drug delivery, such as lipid-based nanocarriers, natural and synthetic polymeric nanocarriers, nanosponges, graphene derivatives, mesoporous silica nanoparticles, plasmonic and magnetic nanoparticles, quantum dots and other miscellaneous systems such as nanovalves, metal-organic frameworks, Janus nanoparticles, and nanofibers. Special attention is given to nanosystems that achieve controlled drug release and increase their bioavailability during in vivo studies.