Cancer is a severe threat to human life. Recently, various therapeutic strategies, such as chemotherapy, photodynamic therapy, and combination therapy have been extensively applied in cancer treatment. However, the clinical benefits of these therapeutics still need improvement. In recent years, supramolecular chemistry based on host-guest interactions has attracted increasing attention in biomedical applications to address these issues. In this review, we present the properties of the major macrocyclic molecules and the stimulus-response strategies used for the controlled release of therapeutic agents. Finally, the applications of supramolecular-macrocycle-based nanomaterials in cancer therapy are reviewed, and the existing challenges and prospects are discussed.