A series of macrocyclic compounds, including crown ether, cyclodextrin, cucurbituril and pillararene, bound to various specific organic/inorganic/biological guest molecules and ions through various non-covalent interactions, can not only make a single system multifunctional but also endow the system with intelligence, especially for luminescent materials. Due to their excellent luminescence properties, such as long-lived excited states, sharp linear emission bands and large Stokes shift, lanthanides have shown great advantages in luminescence, and have been more and more applied in the design of advanced functional luminescent materials. Based on reported research, we summarize the progress of lanthanide luminescent materials based on different macrocyclic compounds from ion or molecule recognition to functional nano-supramolecular assembly of the lanthanide-macrocycle supramolecular system including photo-reaction mediated switch of lanthanide luminescent molecules, multicolor luminescence, ion detection and cell imaging of rare-earth up-conversion of macrocyclic supramolecular assembly. Finally, we put forward the prospects of future development of lanthanide luminescent macrocyclic supramolecular materials.