Cucurbiturils (CBs) and cyclodextrins (CDs) are two important classes of macrocyclic molecules, both of which have the capability of forming stable complexes with various molecular or ionic substrates. These capabilities consequently make them attractive as both receptors for molecular recognition and building blocks for the construction of nano-scaled supramolecular systems. This review mainly deals with representative contributions in comparative studies of selective binding and molecular assembly behaviors of cucurbiturils and cyclodextrins possessing different types of hydrophobic cavities. It also gives a description of the construction of nanometer-scaled supramolecular architectures through the cooperative assembly employing cucurbiturils and cyclodextrins, as well as their functions. This review will be addressed to students and researchers interested in the supramolecular chemistry of cucurbiturils and cyclodextrins, especially that involving these two classes of macrocyclic receptors in a single system.