In general, antimicrobial preservatives are essential components of multidose pharmaceutical formulations to prevent microbial growth and contamination, many of which contain lipophilic and poorly water-soluble drugs in need of solubilizing excipients, such as cyclodextrins (CDs). However, CDs frequently reduce or even abolish the antimicrobial activities of commonly used pharmaceutical preservatives. The degree of inactivation depends on the CD complexation of the preservatives, which in turn depends on their chemical structure and physiochemical properties. In general, lipophilic preservatives are more likely to be inactivated; however, CDs are also known to inactivate highly water-soluble preservatives. In some drug formulations, preservative inactivation has been offset by including excipients that possess some antimicrobial activity on their own. In this review, we explain how CDs interact with some commonly used pharmaceutical preservatives and why some preservatives are more susceptible to CD inactivation than others are.