Among the biodegradable and nontoxic compounds that can form nanoparticles for drug delivery, amphiphilic cyclodextrins are very promising. Apart from ionic cyclodextrins, which have been extensively studied and reviewed because of their application in gene delivery, our purpose is to provide a clear description of the supramolecular assemblies of nonionic amphiphilic cyclodextrins, which can form nanoassemblies for controlled drug release. Moreover, we focus on the relationship between their structure and physicochemical characteristics, which is crucial for self assembly and drug delivery. We also highlight the importance of the nanoparticle technology preparation for the stability and application of this nanodevice.