Photodynamic therapy (PDT) is mainly used to destroy cancerous cells; it combines the action of three components: a photoactivatable molecule or photosensitizer (PS), the light of an appropriate wavelength, and naturally occurring molecular oxygen. After light excitation of the PS, the excited PS then reacts with molecular oxygen to produce reactive oxygen species (ROS), leading to cellular damage. One of the drawbacks of PSs is their lack of solubility in water and body tissue fluids, thereby causing low bioavailability, drug-delivery efficiency, therapeutic efficacy, and ROS production. To improve the water-solubility and/or drug delivery of PSs, using cyclodextrins (CDs) is an interesting strategy. This review describes the in vitro or/and in vivo use of natural and derived CDs to improve antitumoral PDT efficiency in aqueous media. To achieve these goals, three types of binding modes of PSs with CDs are developed: non-covalent CD–PS inclusion complexes, covalent CD–PS conjugates, and CD–PS nanoassemblies. This review is divided into three parts: (1) non-covalent CD-PS inclusion complexes, covalent CD–PS conjugates, and CD–PS nanoassemblies, (2) incorporating CD–PS systems into hybrid nanoparticles (NPs) using up-converting or other types of NPs, and (3) CDs with fullerenes as PSs