Advances in biotechnology give much importance to the therapeutic biomacromolecules in the therapy of diseases, such as proteins, oligonucleotides, and peptides. But their effects are limited in practical application because of cell membrane barrier. Cell-penetrating peptides (CPPs) are promising oligopeptides with a remarkable capacity for membrane translocation, which can carry various macromolecules into cells. In this paper, we reviewed the classification and transmembrane mechanism of CPPs as nanoparticles, with particular focus on their recent progress in tumor-targeted therapy.