Peptide-oligonucleotide conjugates (POCs) represent one of the increasingly successful albeit costly approaches to increasing the cellular uptake, tissue delivery, bioavailability, and, thus, overall efficiency of therapeutic nucleic acids, such as, antisense oligonucleotides and small interfering RNAs. This review puts the subject of chemical synthesis of POCs into the wider context of therapeutic oligonucleotides and the problem of nucleic acid drug delivery, cell-penetrating peptide structural types, the mechanisms of their intracellular transport, and the ways of application, which include the formation of non-covalent complexes with oligonucleotides (peptide additives) or covalent conjugation. The main strategies for the synthesis of POCs are viewed in detail, which are conceptually divided into (a) the stepwise solid-phase synthesis approach and (b) post-synthetic conjugation either in solution or on the solid phase, especially by means of various click chemistries. The relative advantages and disadvantages of both strategies are discussed and compared.