Non-steroidal anti-inflammatory drugs (NSAIDs) are one of the most widely used classes of medicines in the treatment of inflammation, fever, and pain. However, evidence has demonstrated that these drugs can induce significant toxicity. In the search for innovative strategies to overcome NSAID-related problems, the incorporation of drugs into cyclodextrins (CDs) has demonstrated promising results. This study aims to review the impact of cyclodextrin incorporation on the biopharmaceutical and pharmacological properties of non-steroidal anti-inflammatory drugs. A systematic search for papers published between 2010 and 2020 was carried out using the Preferred Reporting Items for Systematic Reviews and Meta-Analyses (PRISMA) protocol and the following search terms: “Complexation”; AND “Cyclodextrin”; AND “non-steroidal anti-inflammatory drug”. A total of 24 different NSAIDs, 12 types of CDs, and 60 distinct inclusion complexes were identified, with meloxicam and β-CD appearing in most studies. The results of the present review suggest that CDs are drug delivery systems capable of improving the pharmacological and biopharmaceutical properties of non-steroidal anti-inflammatory drugs.