Hydrogels have emerged as one of the best studied, widely applied and most versatile classes of soft materials. Hydrogels are important biomimetic nanomaterials comparable to extracellular matrices in terms of water content, porosity, and rigidity. In this regard, self‐assembled hydrogels based on supramolecular host‐guest interactions have enabled unique characteristics like stimuli response, self‐healing, shape memory and self‐regulation. In particular, the use of cyclodextrins and their host‐guest chemistry is a powerful tool for the development of functional hydrogels with unprecedented properties. In this article, recent advances on hydrogels based on supramolecular chemistry of cyclodextrins are reviewed to provide an overview of the manifold design strategies, material properties and areas of application. We contrast the progress on cyclodextrin containing polymer gels to that of their low molecular weight counterparts by highlighting selected publications from each of these subcategories.