Cyclodextrins (CDs) are cyclic oligosaccharides able to improve drug water solubility and stability by forming CD/drug inclusion complexes. To further increase drug entrapment and delay its release, the CD/drug inclusion complex can be embedded in the aqueous phase of a liposome, a lipid vesicle composed of phospholipid bilayer surrounding an aqueous compartment. The resulting carrier is known as drug-in-cyclodextrin-in-liposome (DCL) system. CDs and DCLs are recognized as effective drug delivery systems; therefore, understanding the interaction of CDs with liposomal and biological membranes is of great importance. CDs are able to extract phospholipids, cholesterol, and proteins from membranes; the effect depends on the membrane structure and composition as well as on the CD type and concentration. Under definite conditions, CDs can affect the membrane fluidity, permeability, and stability of liposomes and cells, leading to the leakage of some of their internal constituents. On the other side, CDs demonstrated their beneficial effects on the membrane structure, including preservation of the membrane integrity during freeze-drying. In this paper, we review the literature concerning the interaction of CDs with biomimetic and biological membranes. Moreover, the impact of CDs on the membrane properties, mainly fluidity, stability, and permeability, is highlighted.