Therapeutic proteins provided new opportunities for patients and high sales volumes. However, they are formulated for extracellular targets. The lipophilic barrier of the plasma membrane renders the vast array of intracellular targets out of reach. Peptide-based delivery systems, namely cell-penetrating peptides (CPPs), have few safety concerns, and low immunogenicity, with control over administered doses. This study investigates CPP-based protein delivery systems by classifying them into CPP-protein “covalent conjugation” and CPP: protein “non-covalent complexation” categories. Covalent conjugates ensure the proximity of the CPP to the cargo, which can improve cellular uptake and endosomal escape. We will discuss various aspects of covalent conjugates through non-cleavable (stable) or cleavable bonds. Non-cleavable CPP-protein conjugates are produced by recombinant DNA technology to express the complete fusion protein in a host cell or by chemical ligation of CPP and protein, which ensures stability during the delivery process. CPP-protein cleavable bonds are classified into pH-sensitive and redox-sensitive bonds, enzyme-cleavable bonds, and physical stimuli cleavable linkers (light radiation, ultrasonic waves, and thermo-responsive). We have highlighted the key characteristics of non-covalent complexes through electrostatic and hydrophobic interactions to preserve the conformational integrity of the CPP and cargo. CPP-mediated protein delivery by non-covalent complexation, such as zippers, CPP adaptor methods, and avidin-biotin technology, are featured. Conclusively, non-covalent complexation methods are appropriate when a high number of CPP or protein samples are to be screened. In contrast, when the high biological activity of the protein is critical in the intracellular compartment, conjugation protocols are preferred.