As a multifunctional platform, cyclodextrin capped gold nanoparticles (AuNP@CDs) have attracted extensive attention due to their advantages of high specific surface area and high loading capacity. AuNP@CDs have a core-shell structure, retaining the advantages of the two materials. AuNPs act as the support for the monolayer assembly of CDs. Some functional molecules can enter the hydrophobic cavity of CD through the host-guest interaction. In this brief review, we discuss the strategies for the synthesis of AuNP@CDs depending on the type and order of bonding. Their applications in drug delivery, catalysis, detection and bioimaging are highlighted. We hope to further stimulate AuNP@CD related research.