Cyclodextrins (CDs) are oligosaccharides composed of six (α), seven (β) or eight (γ) glucose units. Their inner hydrophobic cavity and hydrophilic external surface enable the formation of the “host-guest inclusion complex” with different organic or inorganic molecules showing high molecular selectivity. For these characteristics, CDs have many potential applications in electrochemical sensing. To enable CDs immobilization on the electrode surfaces, different chemical modifications are needed depending of the electrode material, while nanomaterials have been exploited to enhance the sensing signal. The CDs binding onto gold nanoparticles or carbon nanotubes, as an electron-transfer mediator to the electrode surface, is a typical example of it, while also graphene is largely used. The aim of the present review is to give an overview of CDs properties and their applications to electrochemical sensors for medical diagnostics. Different kinds for the functionalization of CDs onto electrode surfaces will be reviewed as well as their performance in presence of nanomaterials. Finally, CDs-based devices for sensing biomedical molecules of biomedical interest will be briefly presented and discussed.