This review aims to provide a critical review of the biological performance of natural and synthetic substances complexed with cyclodextrins, highlighting: (i) inclusion complexes with cyclodextrins and their biological studies in vitro and in vivo; (ii) Evaluation and comparison of the bioactive efficacy of complexed and non-complexed substances; (iii) Chemical and biological performance tests of inclusion complexes, aimed at the development of new pharmaceutical products. Based on the evidence presented in the review, it is clear that cyclodextrins play a vital role in the development of inclusion complexes which promote improvements in the chemical and biological properties of the complexed active principles, as well as providing improved solubility and aqueous stability. Although the literature shows the importance of their ability to help produce innovative biotechnological substances, we still need more studies to develop and expand their therapeutic properties. It is, therefore, very important to gather together evidence of the effectiveness of inclusion complexes with cyclodextrins in order to facilitate a better understanding of research on this topic and encourage further studies.