Cell‐penetrating peptides are used in the delivery of peptides and biologics, with some cell‐penetrating peptides found to be more efficient than others. The exact mechanism of how they interact with the cell membrane and penetrate it, however, remains unclear. This study attempts to investigate the difference in free energy profiles of three cell‐penetrating peptides (TAT, CPP1 and CPP9) with a model lipid bilayer (DOPC) using molecular dynamics pulling simulations with umbrella sampling. Potential mean force (PMF) and free energy barrier between the peptides and DOPC are determined using WHAM analysis and MM‐PBSA analysis, respectively. CPP9 is found to have the smallest PMF value, followed by CPP1 and TAT, consistent with the experimental data. YDEGE peptide, however, does not give the highest PMF value, although it is a non‐cell‐permeable peptide. YDEGE is also found to form water pores, alongside with TAT and CPP9, suggesting that it is difficult to distinguish true water pore formation from artefacts arising from pulling simulations. On the contrary, free energy analysis of the peptide‐DOPC complex at the lipid‐water interface with MM‐PBSA provides results consistent with experimental data with CPP9 having the least interaction with DOPC and lowest free energy barrier, followed by CPP1, TAT and YDEGE. These findings suggest that peptide‐lipid interaction at the lipid‐water interface has a direct correlation with the penetration efficiency of peptides across the lipid bilayer.