Oxidative stress is one of the key elements in lung-related complications such as cystic fibrosis, acute lung injury, pulmonary hypertension, bronchopulmonary dysplasia, chronic airway diseases, lung cancer, COVID-19, and many others. Antioxidant and anti-inflammatory therapy can be considered as supportive alternatives in their management. However, most naturally derived antioxidants face issues with poor aqueous solubility and stability, which hinder their clinical utility. Remarkably, local pulmonary delivery circumvents the severe limitations of oral delivery, including hepatic first-pass metabolism and organ toxicity, and enables a higher drug payload in the lungs. Here, in this review, we present cyclodextrin as a potential drug carrier for pulmonary administration, exploring the possibilities of its surface modification, complexation with other drug transporters, and loading of cannabidiols, siRNA, and antibodies as future trends. However, the lack of a robust physiological model for assessing the efficacy of lung-oriented drug targeting is a significant concern in its path to clinical and commercial success.