Cyclodextrin (CD) and pillar[n]arene are significant macrocyclic host molecules in supramolecular chemistry, and have either similar or contrasting physicochemical properties, for example, both can provide capable cavities available for recognizing various favorite guest molecules, while they usually possess different solubility in aqueous solutions, and exhibit diverse chiral characteristics. To balance their similarity and differences inherited from each chemical structure and incorporate both advantages, the CD-pillar[n]arene hybrid macrocyclic system was recently developed. In this review, we will focus on the preparation and application of CD-pillar[n]arene hybrid macrocyclic systems. Both noncovalent interactions and covalent bonds were employed in the synthesis strategies of building the hybrid macrocyclic system, which was in the form of host-guest inclusion, self-assembly, conjugated molecules, and polymeric structures. Furthermore, the CD-pillar[n]arene hybrid macrocyclic system has been primarily applied for the removal of organic pollutants from water, induced chirality, as well as photocatalysis due to the integration of both cavities from CD and pillar[n]arene as hybrid hosts and chiral characteristics inherited from their chemical structures.