A variety of cyclodextrin-based molecular structures, with substitutions of either primary or secondary faces of the natural oligosaccharide macrocycles of α-, β-, or γ-cyclodextrins, have been designed towards innovative applications of self-assembled cyclodextrin nanomaterials. Amphiphilic cyclodextrins have been obtained by chemical or enzymatic modifications of their macrocycles using phospholipidyl, peptidolipidyl, cholesteryl, and oligo(ethylene oxide) anchors as well as variable numbers of grafted hydrophobic hydrocarbon or fluorinated chains. These novel compounds may self-assemble in an aqueous medium into different types of supramolecular nanoassemblies (vesicles, micelles, nanorods, nanospheres, and other kinds of nanoparticles and liquid crystalline structures). This review discusses the supramolecular nanoarchitectures, which can be formed by amphiphilic cyclodextrin derivatives in mixtures with other molecules (phospholipids, surfactants, and olygonucleotides). Biomedical applications are foreseen for nanoencapsulation of drug molecules in the hydrophobic interchain volumes and nanocavities of the amphiphilic cyclodextrins (serving as drug carriers or pharmaceutical excipients), anticancer phototherapy, gene delivery, as well as for protection of instable active ingredients through inclusion complexation in nanostructured media.