In CNS drug discovery, the estimation of brain exposure to lead compounds is critical for their optimization. Compounds need to cross the blood–brain barrier (BBB) to reach the pharmacological targets in the CNS. The BBB is a complex system involving passive and active mechanisms of transport and efflux transporters such as P-glycoproteins (P-gp) and breast cancer resistance protein (BCRP), which play an essential role in CNS penetration of small molecules. Several in vivo, in vitro, and in silico methods are available to estimate human brain penetration. Preclinical species are used as in vivo models to understand unbound brain exposure by deriving the Kp,uu parameter and the brain/plasma ratio of exposure corrected with the plasma and brain free fraction. The MDCK-mdr1 (Madin Darby canine kidney cells transfected with the MDR1 gene encoding for the human P-gp) assay is the commonly used in vitro assay to estimate compound permeability and human efflux. The in silico methods to predict brain exposure, such as CNS MPO, CNS BBB scores, and various machine learning models, help save costs and speed up compound discovery and optimization at all stages. These methods enable the screening of virtual compounds, building of a CNS penetrable compounds library, and optimization of lead molecules for CNS penetration. Therefore, it is crucial to understand the reliability and ability of these methods to predict CNS penetration. We review the in silico, in vitro, and in vivo data and their correlation with each other, as well as assess published experimental and computational approaches to predict the BBB penetrability of compounds.