The identification of the key role of the eukaryotic 26S proteasome in regulated intracellular proteolysis and its importance as a target in many pathological conditions wherein the proteasomal activity is defective (e.g., malignancies, autoimmune diseases, neurodegenerative diseases, etc.) prompted several research groups to the development of specific inhibitors of this multicatalytic complex with the aim of obtaining valid drug candidates. In regard to the anticancer therapy, the peptide boronate bortezomib (Velcade®) represents the first molecule approved by FDA for the treatment of multiple myeloma in 2003 and mantle cell lymphoma in 2006. Since then, a plethora of molecules targeting the proteasome have been identified as potential anticancer agents and a few of them reached clinical trials or are already in the market (i.e., carfilzomib; Kyprolis®). In most cases, the design of new proteasome inhibitors (PIs) takes into account a proven peptide or pseudopeptide motif as a base structure and places other chemical entities throughout the peptide skeleton in such a way to create an efficacious network of interactions within the catalytic sites. The purpose of this review is to provide an in-depth look at the current state of the research in the field of peptide-based PIs, specifically those ones that might find an application as anticancer agents.