Arthritics diseases, such as rheumatoid arthritis and osteoarthritis are chronic inflammatory and one of the most prevalent health conditions that cause disability (pain and functional limitation of joints). Despite the research advances, the treatment of those pathological conditions remains ineffective, since the pharmacological therapy is palliative, reducing only the symptoms and, in some cases, the chronic progression of the disease. In this context, the development of new formulations for controlled release would be interesting for reducing the number of injections and would also increase the patient compliance. In this article, we present a review of the cyclodextrin (CD)-based delivery systems focusing from conventional guest-host inclusion complexes and CD-polysulphates, until supramolecular architectures such as drug-CD-polymers conjugates, pseudorotaxanes, hydrogels as well as double-carrier systems and other systems. In particular, this article focuses the main CD-based delivery systems described in the literature emphasizing their possible administration by intra-articular route on the treatment of arthritic diseases, concentrating on their development and also performance as in vivo experimental therapeutic systems.