Proteins, which have inherent biorecognition properties, have long been used as therapeutic agents for the treatment of a wide variety of clinical indications. Protein modification through covalent attachment to different moieties improves the therapeutic’s pharmacokinetic properties, affinity, stability, confers protection against proteolytic degradation, and increases circulation half-life. Nowadays, several modified therapeutic proteins, including PEGylated, Fc-fused, lipidated, albumin-fused, and glycosylated proteins have obtained regulatory approval for commercialization. During its manufacturing, the purification steps of the therapeutic agent are decisive to ensure the quality, effectiveness, potency, and safety of the final product. Due to the robustness, selectivity, and high resolution of chromatographic methods, these are recognized as the gold standard in the downstream processing of therapeutic proteins. Moreover, depending on the modification strategy, the protein will suffer different physicochemical changes, which must be considered to define a purification approach. This review aims to deeply analyze the purification methods employed for modified therapeutic proteins that are currently available on the market, to understand why the selected strategies were successful. Emphasis is placed on chromatographic methods since they govern the purification processes within the pharmaceutical industry. Furthermore, to discuss how the modification type strongly influences the purification strategy, the purification processes of three different modified versions of coagulation factor IX are contrasted.