In this study, we present a comprehensive overview of supramolecular self-assemblies comprising cyclodextrins (CDs) and polyoxometalates (POMs). We summarize the recent advancements in supramolecular POM–CD systems, including their structures, functions, and applications. Subsequently, we focus on the self-assembly behavior of CDs and POMs, encompassing the formation of inclusion complexes, host–guest interactions, and the development of hybrid materials. In addition, we discuss the remarks on future outlooks and hope that this review will serve as a valuable reference for researchers engaged in the fields of supramolecular/POM chemistry, materials science, and nanotechnology.