The modification of the surface of titanium dioxide nanoparticles (TiO2 NPs) by the incorporation of cyclodextrins (CDs), cyclic oligosaccharides with a hydrophobic cavity, can largely improve the functionality of TiO2 by lodging molecules of interest in the CD to act directly on the surface of the nanoparticles or for further release. With this aim, we have synthesized beta CD-modified nanoparticles (beta CDTiO2 NPs) by a two-step reaction that involves the incorporation of a spacer and then the linking of the macrocycle, and characterized them by thermogravimetric analysis (TGA), Fourier transform infrared spectroscopy (FTIR), and scanning electron microscopy (SEM). The capacity of the functionalized structures to trap model compounds (Rhodamine and 1-naphthol) has been compared to that of bare TiO2 NPs by fluorescence and Ultraviolet-visible (UV-visible) spectroscopy. The presence of the CDs on the surface of the TiO2 avoids the photo-degradation of the guest, which is of interest in order to combine the photocatalytic activity of TiO2, one of its most interesting features for practical purposes, with the delivery of compounds susceptible of being photo-degraded. The beta CDTiO2 NPs have been dispersed in polymeric matrices of frequently used polymers, polyethylene (LDPE) and polyethylene oxide (PEO), by cryogenic high energy ball milling to produce nanocomposites in the form of films. The surface modification of the nanoparticles favors the homogenization of the filler in the matrix, while the nanoparticles, either in bare or functionalized form, do not seem to alter the crystallization properties of the polymer at least up to a 5% (w/w) load of filler.