Supramolecular chemistry, although focused mainly on noncovalent intermolecular and intramolecular interactions, which are considerably weaker than covalent interactions, can be employed to fabricate sensors with a remarkable affinity for a target analyte. In this review the development of cyclodextrin-based electrochemical sensors is described and discussed. Following a short introduction to the general properties of cyclodextrins and their ability to form inclusion complexes, the cyclodextrin-based sensors are introduced. This includes the combination of cyclodextrins with reduced graphene oxide, carbon nanotubes, conducting polymers, enzymes and aptamers, and electropolymerized cyclodextrin films. The applications of these materials as chiral recognition agents and biosensors and in the electrochemical detection of environmental contaminants, biomolecules and amino acids, drugs and flavonoids are reviewed and compared. Based on the papers reviewed, it is clear that cyclodextrins are promising molecular recognition agents in the creation of electrochemical sensors, chiral sensors, and biosensors. Moreover, they have been combined with a host of materials to enhance the detection of the target analytes. Nevertheless, challenges remain, including the development of more robust methods for the integration of cyclodextrins into the sensing unit.