Magnetic Fe3O4 nanoparticles (MNPs) have been covalently modified with β‐cyclodextrin (β‐CD) cavities by adopting a two‐step anchoring route based on particle prefunctionalization with a phosphonic monolayer, which acts as a covalent linker between the MNPs and β‐CD. Particular attention has been devoted to the study of the functionalization process by adopting bifunctional phosphonic linkers to investigate the efficiency of the anchoring group (phosphonic acid or ester) and the role of a second functional group. The grafting process of the phosphonic linkers has been monitored by using X‐ray photoelectron and FTIR spectroscopy. β‐CD has then been successfully anchored on MNPs prefunctionalized with (3‐aminopropyl)phosphonic acid. The ability of β‐CD‐functionalized nanoparticles to carry and slowly release some drugs has been tested by adopting the anti‐inflammatory drug diclofenac sodium …