Cell-penetrating peptide (CPP)-mediated intracellular drug delivery system, often specifically termed as “the Trojan horse approach”, has become the “holy grail” in achieving effective delivery of macromolecular compounds such as proteins, DNA, siRNAs, and drug carriers. It is characterized by the unique cell- (or receptor-), temperature-, and payload-independent mechanisms, therefore offering potent means to improve poor cellular uptake of a variety of macromolecular drugs. Nevertheless, this “Trojan horse” approach also acts like a double-edged sword, causing serious safety and toxicity concerns to normal tissues or organs for in vivo application, due to lack of target selectivity of the powerful cell penetrating activity. To overcome this problem of potent yet non-selective penetration vs. targeting delivery, a number of “smart” strategies have been developed in recent years, including controllable CPP-based drug delivery systems based on various stimuli-responsive mechanisms. This review article provides a fundamental understanding of these smart systems, as well as a discussion of their real-time in vivo applicability.