A review dedicated mainly to the results obtained by the authors on the use of cyclodextrin (CD) derivatives on protein (enzyme) stabilization through covalent and non-covalent interactions (host-guest supramolecular interactions) is presented here. This latter procedure served to introduce a new method for enzyme immobilization on metallic surfaces that can be used to prepare biosensors and therapeutic nanodevices. The surfaces of gold (and silver) electrodes and nanoparticles were modified with sulphur-containing cyclodextrin derivatives. The protein (enzyme) was then supramolecularly immobilized on the modified surface when one or more of its bulky hydrophobic moieties was included into the CD cavity. The protein can also be modified with a typical CD guest, such as adamantane, to achieve a more stable immobilization. Different examples are presented, such as a biosensor based on monolayers of adamantane-modified cytochrome c and a bienzymatic nanodevice comprising gold nanoparticles stabilized with CD associated to catalase and superoxide dismutase modified with complementary host-guest residues. The possibilities of this new approach for the development of biosensors and therapeutic nanodevices are analyzed.