Cell-penetrating peptides (CPPs), developed for more than 30 years, are still being extensively studied due to their excellent delivery performance. Compared with other delivery vehicles, CPPs hold promise for delivering different types of drugs. Here, we review the development process of CPPs and summarize the composition and classification of the CPP-based delivery systems, cellular uptake mechanisms, influencing factors, and biological barriers. We also summarize the optimization routes of CPP-based macromolecular drug delivery from stability and targeting perspectives. Strategies for enhanced endosomal escape, which prolong its half-life in blood, improve targeting efficiency and stimuli-responsive design and are comprehensively summarized for CPP-based macromolecule delivery. Finally, after concluding the clinical trials of CPP-based drug delivery systems, we extracted the necessary conditions for a successful CPP-based delivery system. This review provides the latest framework for the CPP-based delivery of macromolecular drugs and summarizes the optimized strategies to improve delivery efficiency.