Solubilization of hydrophobic drugs at the molecular level as inclusion complexes inside cyclodextrins (CDs) offers a good alternative for improving their stability, solubility and bioavailability, and for preventing against their possible toxicity or controlling secondary effects. Therefore CDs are widely used as solubilizing excipients. However since dissociation takes place too readily upon dilution, inclusion complexes inside simple water-soluble CD appears ineffective for drug delivery applications. Chemical modifications of CDs allow them to self-organize as larger assemblies useful for resolving this lability issue. Depending on the position, the number and the nature of these groups, amphiphilic CDs can form assemblies such as vesicles, solid-lipid nanoparticles, nanospheres, liquid crystals, or micellar systems. This review deals with the synthesis of amphiphilic cyclodextrins leading to supramolecular assemblies and the physical properties of these assemblies. From the first sulfonated amphiphilic cyclodextrins isolated in our laboratory in 2003, to the latest ones being regioselectively functionalized by two or four fluoroalkyl chains, through the persubstituted fluorinated cyclodextrines, all these amphiphilic cyclodextrins have shown good abilities for encapsulation. Complexation of bioactive molecules (acyclovir) by these modified alpha-cyclodextrin derivatives, the encapsulation efficiency and release profile were measured as an assessment of the properties of such nanoparticles regarding drug delivery applications.