Cytochrome P450 monooxygenases (P450s) are promising versatile oxidative biocatalysts. However, the practical use of P450s in vitro is limited by their dependence on the co-enzyme NAD(P)H and the complex electron transport system. Using H2O2 simplifies the catalytic cycle of P450s; however, most P450s are inactive in the presence of H2O2. By mimicking the molecular structure and catalytic mechanism of natural peroxygenases and peroxidases, an artificial P450 peroxygenase system has been designed with the assistance of a dual-functional small molecule (DFSM). DFSMs, such as N-(ω-imidazolyl fatty acyl)-l-amino acids, use an acyl amino acid as an anchoring group to bind the enzyme, and the imidazolyl group at the other end functions as a general acid-base catalyst in the activation of H2O2. In combination with protein engineering, the DFSM-facilitated P450 peroxygenase system has been used in various oxidation reactions of non-native substrates, such as alkene epoxidation, thioanisole sulfoxidation, and alkanes and aromatic hydroxylation, which showed unique activities, and regio- and enantioselectivities when compared with native P450s. Moreover, the DFSM-facilitated P450 peroxygenase system can switch to the peroxidase mode by mechanism-guided protein engineering. In this short review, the design, mechanism, evolution, application, and perspective of these novel non-natural P450 peroxygenases for the oxidation of non-native substrates are discussed.