Recent preclinical and clinical studies have focused on the active area of therapeutic peptides due to their high potency, selectivity, and specificity in treating a broad range of diseases. However, therapeutic peptides suffer from multiple disadvantages, such as limited oral bioavailability, short half-life, rapid clearance from the body, and susceptibility to physiological conditions (e.g., acidic pH and enzymolysis). Therefore, high peptide dosages and dose frequencies are required for effective patient treatment. Recent innovations in pharmaceutical formulations have substantially improved therapeutic peptide administration by providing the following advantages: long-acting delivery, precise dose administration, retention of biological activity, and improvement of patient compliance. This review discusses therapeutic peptides and challenges in their delivery and explores recent peptide delivery formulations, including micro/nanoparticles (based on lipids, polymers, porous silicon, silica, and stimuli-responsive materials), (stimuli-responsive) hydrogels, particle/hydrogel composites, and (natural or synthetic) scaffolds. This review further covers the applications of these formulations for prolonged delivery and sustained release of therapeutic peptides and their impact on peptide bioactivity, loading efficiency, and (in vitro/in vivo) release parameters.