In the field of host–guest chemistry, some of the most widely used hosts are probably cyclodextrins (CDs). As CDs are able to increase the water solubility of numerous drugs by inclusion into their hydrophobic cavity, they have been widespread used to develop numerous pharmaceutical formulations. Nevertheless, CDs are also able to interact with endogenous substances that originate from an organism, tissue or cell. These interactions can be useful for a vast array of topics including cholesterol manipulation, treatment of Alzheimer’s disease, control of pathogens, etc. In addition, the use of natural CDs offers the great advantage of avoiding or reducing the use of common petroleum-sourced drugs. In this paper, the general features and applications of CDs have been reviewed as well as their interactions with isolated biomolecules leading to the formation of inclusion or exclusion complexes. Finally, some potential medical applications are highlighted throughout several examples.