Natural phytochemicals are severely limited in their effectiveness as food materials due to their poor water solubility, poor storage stability and limited bioavailability. The construction of cyclodextrin inclusion compounds (CICs) improves the solubility and stability of natural-derived phytochemicals in different environments, thereby maintaining their biological activities during food processing and storage. With the application of computational techniques including molecular modeling and molecular dynamics simulation, the inclusion behavior of cyclodextrins and phytochemicals can be well elucidated. In recent studies, researchers have developed new CIC materials including nanofibers, nanosponges, and metal-organic framework compounds. More and more studies have confirmed the feasibility of these materials as functional additives in different food matrices or active packaging. This indicates that CICs can be designed to make them a promising new food material. The improvement of the bioavailability of phytochemicals in CICs can be confirmed by the use of in vitro/in vivo digestion models. However, additional safety and digestibility assessments are needed for these newly developed CICs to evaluate their practical applications in the food industry. The use of advanced digestion models helps to clarify the potential applications of new CIC materials in the food industry.