Cyclodextrins (CDs) are cyclic oligosaccharides that form water-soluble inclusion complexes of lipophilic molecules. They are commonly used as pharmaceutical excipients. Recently it has been observed that CDs and CD complexes self-assemble in aqueous solutions to form transient clusters, nanoparticles and small microparticles. The critical aggregation concentration (cac) of the natural αCD, βCD and γCD in pure aqueous solutions is about 25, 8 and 9 mg/ml, respectively. The cac of 2-hydroxypropyl-β-cyclodextrin (HPβCD), that consists of a mixture of isomers, in pure aqueous solutions is significantly higher or about 118 mg/ml. Formation of guest/ CD complexes can increase or decrease the cac value. Due to the transient nature of the CD clusters and nanoparticles they can be difficult to detect and their presence is frequently ignored. However, formation of such particulate matter in aqueous CD solutions can lead to erroneous analytical results and product rejections during drug manufacturing. On the other hand, they have also given rise to formation of novel drug delivery systems with exceptional properties.