In recent years, the effective purification of PEGylated therapeutic proteins from reaction media has received particular attention. Although several techniques have been used, affinity-based strategies have been scarcely explored despite the fact that, after PEGylation, marked changes in the molecular affinity parameters of the modified molecules are observed. With this in mind, future contributions in the bioseparation of these polymer-protein conjugates are expected to exploit affinity in chromatographic and nonchromatographic techniques which will surely derive in the integration of different operations. However, this will only occur as novel ligands which are simultaneously found. As it will be mentioned, these novel ligands may be screened or designed. In both cases, computer-aided tools will support their identification or development. Additionally, ligand discovery by high-throughput screening (HTS) is believed to become a fast, economic, and informative technology that will aid in the mass production of ligands along with genetic engineering and related technologies. Therefore, besides analyzing the state of the art in affinity separation strategies for PEGylated molecules, this review proposes a basic guideline for the selection of adequate ligands to provide information and prospective on the future of affinity operations in solving this particular bioengineering problem.