Cyclodextrins (CDs) are a family of macrocyclic oligosaccharides mostly composed of six, seven, or eight α-D-glucopyranose units with α-1,4-glycosidic bonds to form toroidal structures. The CDs possess a hydrophilic exterior and hydrophobic interior with the ability to form an inclusion complex, especially with hydrophobic molecules. However, most existing studies are about conjugation CDs with peptide/protein focusing on the formation of new systems. The CD-peptide/protein can possess new abilities; particularly, the cavity can be applied in modulation properties of more complexed proteins. Most studies are focused on drug delivery, such as targeted delivery in cell-penetrating peptides or co-delivery. The co-delivery is based mostly on polylysine systems; on the other hand, the CD-peptide allows us to understand biomolecular mechanisms such as fibryllation or stem cell behaviour. Moreover, the CD-proteins are more complexed systems with a focus on targeted therapy; these conjugates might be controllable with various properties due to changes in their stability. Finally, the studies of CD-peptide/protein are promising in biomedical application and provide new possibilities for the conjugation of simple molecules to biomolecules.