Supramolecular host-guest interactions are ideal for engineering supramolecular nanoparticles (SNPs), because their modular character offers the possibility of using the same basic SNPs made of very similar building blocks in a variety of applications. The most widely used host is cyclodextrin (CD), therefore, this review will focus on SNPs involving CD as the host entity. In the first part, particle formation and size control are described, and the forces that induce the assembly between the different components and, therefore, result in the formation of stable and controllable nanoparticles. In the second part, the use of CD-based SNPs for diagnostics and therapeutics is described. Here, the emphasis is on how the therapeutic agent/imaging component is included in the system and how it is released at the target site. CD-based SNPs provide great possibilities for the formulation of nanoparticles for biomedical applications because of their high flexibility, stability, modular character, and biocompatibility.