Recently, supramolecular chemistry has been expanding to supramolecular polymer chemistry. The combination of cyclic molecules and linear polymers has provided many kinds of intriguing supramolecular architectures, such as rotaxanes and catenanes. This tutorial review overviews construction of some supramolecular architectures formed by cyclodextrins or their derivatives with guest molecules. In the first part, the construction of supramolecular structures of cyclodextrins with some polymers (polyrotaxanes) is described. In the second part, formation of supramolecular oligomers and polymers formed by cyclodextrin derivatives is described.