Cyclodextrin (CD) is one of the most versatile substances produced by nature and can form supramolecular hydrogels with polymers or small molecules based on non-covalent interactions such as host-guest interaction and hydrogen bonding. CD-based host-guest supramolecular hydrogels have a widespread application in the field of local drug delivery due to their unique properties, such as excellent biocompatibility, shear-thinning nature, and stimuli responsiveness. In this review, we briefly introduce the formation of supramolecular hydrogels with different types of CD (alpha, beta, and gamma-CD) and in vitro physicochemical characteristics of these hydrogels. We also describe CD-based host-guest supramolecular hydrogels application in local drug delivery, ranging from intra-tumoral/peritumoral, subcutaneous, intraarticular, bone defect site, intramyocardial and ocular administration to transdermal and intra-renal administration. In addition, this review discusses the challenges and future directions about the clinical translation of CD-based host-guest supramolecular hydrogels. (C) 2021 Elsevier B.V. All rights reserved.