To meet the requirements of diagnosis and treatment, photodynamic therapy (PDT) is a promising cancer treatment with less side-effect. A series of novel BODIPY complexes (BODIPY-CDs) served as PDT agents were first reported to enhance the biocompatibility and water solubility of BODIPY matrix through the click reaction of alkynyl-containing BODIPY and azide-modified cyclodextrin (CD). BODIPY-CDs possessed superior water solubility due to the introduction of CD and their fluorescence emission apparently redshifted (>90 nm) on account of triazole units as the linkers compared to alkynyl-containing BODIPY. Moreover, all the BODIPY-CDs were no cytotoxicity toward NIH 3T3 in different drug concentrations from 12.5 to 200 μg/mL, and had a certain inhibitory effect on tumor HeLa cells. Particularly, BODIPY-β-CD exhibited high reactive oxygen species generation and excellent photodynamic therapy activity against HeLa cells compared to other complexes. The cell viability of BODIPY-β-CD was dramatically reduced up to 20% in the concentration of 100 μg/mL upon 808 nm laser irradiation. This architecture might provide a new opportunity to develop valuable photodynamic therapy agents for tumor cells.