Cell-penetrating peptides have been widely investigated as delivery vehicles for oligonucleotides (e.g., siRNA and antisense oligonucleotides). Different delivery strategies can be used, such as co-incubation, direct conjugation, non-covalent complex, and modification on the surface of liposome or polymer complexes. However, several challenges remain for their preclinical and clinical development. Endosomal escape, lack of cell/tissue specificity, and toxicity are major concerns in the design of cell-penetrating peptide-mediated delivery systems. In this commentary, we highlight recent reports of cell-penetrating peptide incorporation into oligonucleotide delivery systems and underline the remaining challenges, particularly for preclinical and clinical applications.