The exceptionally large polarizability of highly excited Rydberg atoms-six orders of magnitude higher than ground-state atoms--makes them of great interest in fields such as quantum optics, quantum computing, quantum simulation and metrology. However, if they are to be used routinely in applications, a major requirement is their integration into technically feasible, miniaturized devices. Here we show that a Rydberg medium based on room temperature caesium vapour can be confined in broadband-guiding kagome-style hollow-core photonic crystal fibres. Three-photon spectroscopy performed on a caesium-filled fibre detects Rydberg states up to a principal quantum number of n=40. Besides small energy-level shifts we observe narrow lines confirming the coherence of the Rydberg excitation. Using different Rydberg states and core diameters we study the influence of confinement within the fibre core after different exposure times. Understanding these effects is essential for the successful future development of novel applications based on integrated room temperature Rydberg systems.