The unique ability of cyclodextrins (CDs) to form inclusion complexes can be transmitted to polymeric networks in which CDs are chemically grafted or cross-linked. Combination of CDs and hydrogels in a single material leads to synergic properties: the hydrophilic network enhances biocompatibility and prevents dilution in the physiological medium increasing the stability of the inclusion complexes, while CDs finely tune the mechanical features and the stimuli-responsiveness and provide affinity-based regulation of drug loading and release. Therefore, CD-functionalized materials are opening new perspectives in pharmacotherapy, emerging as advanced delivery systems (DDS) for hydrophobic and hydrophilic drugs to be administered via almost any route. Medical devices (catheters, prosthesis, vascular grafts, bone implants) can also benefit from surface grafting or thermofixation of CDs. The present review focuses on the approaches tested to synthesize nano- to macro-size covalently cross-linked CD networks: i) direct cross-linking through condensation with di- or multifunctional reagents, ii) copolymerization of CD derivatives with acrylic/vinyl monomers, and iii) grafting of CDs to preformed medical devices. Examples of the advantages of having the CDs chemically bound among themselves and to substrates are provided and their applicability in therapeutics discussed.