Nowadays, colloidal drug carriers represent an alternative to solve drug bioavailabily problems. During the past two decades, colloidal drug carriers have proved to improve the therapeutic index of drugs and thus increase their efficacy and/or reduce their toxicity. However, the major challenge in the development of these drug carriers remains the search for materials able to self-organize into stable nanoscale systems. In particular, amphiphilic α-, β- and γ-cyclodextrins (CDs), grafted on their secondary or primary side with different aliphatic chains, have been investigated as drug delivery vehicles due to their ability to self-assemble and form various stable colloidal systems such as micellar aggregates, nanoreservoirs or nanoparticles exhibiting a matricial, multilamellar or hexagonal supramolecular organization. These self-assembled CD-based nanodevices show some advantages in terms of stability, good ability to associate lipophilic drugs and good in vivo tolerance. This review focuses on the potential of the structured nanoparticles obtained from nonionic amphiphilic CDs in drug delivery and targeting. We discuss the synthesis and characterization of the building blocks as well as the preparation and characterization of colloidal particles made from these materials. We also considered some pharmaceutical applications and identified opportunities for an optimum use of this CD-based nanotechnology approach in addressing worldwide priority health problems.