Cancer is one of the leading causes of death worldwide due to high heterogeneity. Although chemotherapy remains the mainstay of cancer therapy, non-selective toxicity and drug resistance of mono-chemotherapy incur broad criticisms. Subsequently, various combination strategies have been developed to improve clinical efficacy, also known as cocktail therapy. However, conventional “cocktail administration” is just passable, due to the potential toxicities to normal tissues and unsatisfactory synergistic effects, especially for the combined drugs with different pharmacokinetic properties. The drug conjugates through coupling the conventional chemotherapeutics to a carrier (such as antibody and peptide) provide an alternative strategy to improve therapeutic efficacy and simultaneously reduce the unspecific toxicities, by virtue of the advantages of highly specific targeting ability and potent killing effect. Although 14 antibody–drug conjugates (ADCs) have been approved worldwide and more are being investigated in clinical trials so far, several limitations have been disclosed during clinical application. Compared with ADCs, peptide-drug conjugates (PDCs) possess several advantages, including easy industrial synthesis, low cost, high tissue penetration and fast clearance. So far, only a handful of PDCs have been approved, highlighting tremendous development potential. Herein, we discuss the progress and pitfalls in the development of ADCs and underline what can learn from ADCs for the better construction of PDCs in the future.