The engineering of multifunctional nanoparticles carrying photosensitizer drugs (PS) and exposing binding groups for cellular receptors is of increasing interest in therapeutics and diagnostics applications. Natural and modified cyclodextrins (CDs) offer useful scaffolds to bind PS guests by supramolecular interactions. In particular, amphiphilic β-CDs, which form nanoaggregates of diverse shape and size according to the polarity of substituent groups on the rims, include in their different compartments as CD cavity, hydrophilic and hydrophobic portion, PS with different physicochemical properties. PS embedded in cationic amphiphilic CD nanoassemblies are effective in inducing photodynamic damage in cancer cells. For a carrier/PS system to be used in photodynamic therapy (PDT) or photodynamic diagnosis (PDD), the appropriate combination of the delivery characteristics with the preservation of the photodynamic activity of the PS is strictly required. Homogeneous multilayer films based on cationic amphiphilic β-CD entrapping anionic porphyrins can be constructed to exploit interfacial electrostatic interactions between the two components. The capability of CDs to generate restricted microenvironments for PS which can facilitate photoinduced energy transfer with suitable donor molecules was investigated for potential application in fluorescence diagnosis. Besides, recent findings suggest that PDT could represent a useful tool for properly addressing an alternative approach for killing pathogens and combating infections at a clinical level. Finally, modified CDs can bind gold nanoparticles, yielding hybrid organic/inorganic nanoparticles which were studied in water solution and after casting on solid substrates. These binary assemblies could further encapsulate PS or other conventional drugs, opening new intriguing routes on multimodal therapy.