The use of natural carotenoids as food colorants is an important trend of innovation in the industry due to their low toxicity, their potential as bio-functional ingredients, and the increasing demand for natural and organic foods. Despite these benefits, their inclusion in food matrices presents multiple challenges related to their low stability and low water solubility. The present review covers the main concepts and background of carotenoid inclusion complex formation in cyclodextrins as a strategy for their stabilization, and subsequent inclusion in food products as color additives. The review includes the key aspects of the molecular and physicochemical properties of cyclodextrins as complexing agents, and a detailed review of the published evidence on complex formation with natural carotenoids from different sources in cyclodextrins, comparing complex formation methodologies, recovery, inclusion efficiency, and instrumental characterization techniques. Moreover, process flow diagrams (PFD), based on the most promising carotenoid-cyclodextrin complex formation methodologies, are proposed, and discussed as a potential tool for their future scale-up. This review shows that the inclusion of carotenoids in complexes with cyclodextrins constitutes a promising technology for the stabilization of these pigments, with possible advantages in terms of their stability in food matrices.