Cell-penetrating peptides (CPPs) are promising tools for intracellular delivery. However, no consensus regarding their internalization mechanism has been reached within the scientific community. Although endocytosis seems to be the preferred internalization mechanism for most CPP-cargo complexes, examples of direct translocation have also been identified. In this review we go through the several ways of studying CPP-mediated cargo delivery in cells and the possible factors affecting the internalization pathways followed by these complexes. In addition, we analyze the CPP-mediated delivery of two relevant cargoes, namely quantum dots and nucleic acids, focusing on the internalization mechanism that they follow.