Cancer is increasingly becoming a serious threat to human life and health. Therefore, the development of safe and effective therapeutic agents against the disease is of crucial significance. Cyclodextrins (CDs) are cyclic oligosaccharides obtained by the enzymatic hydrolysis of starch, and constitute a class of cyclic oligosaccharides with external hydrophilic and internal hydrophobic properties and have been used widely in cancer therapy. Cyclodextrin has been extensively applied in nanomedicine therapy, gene therapy, cell therapy, immunotherapy, and chemotherapy. In this review, we summarize chemotherapy drugs for cancer treatment, classify various CD-based drug delivery systems, and describe their chemotherapy release and cancer treatment performance. In addition, current challenges and new opportunities for CD-based chemotherapeutic agents delivery systems are discussed.