Among the difficulties encountered in the treatment of cancer are the physico-chemical properties of the chemotherapeutic agents; in particular low water solubility and low stability, resulting in poor efficacy. Due to their capability to form molecular inclusions with apolar molecules (or part of them) cyclodextrins constitute a powerful tool to prepare more efficient chemotherapeutic delivery systems such as nanoparticles. This review focuses on polymeric nanoparticles for cancer therapy prepared from either cyclodextrin molecules, or polymer and cyclodextrins.