Cell penetrating peptides, generally categorized as amphipathic or cationic depending on their sequence, are increasingly drawing attention as a non-invasive delivery technology for macromolecules. Delivery of a diverse set of cargo in terms of size and nature ranging from small molecules to particulate cargo has been attempted using different types of cell penetrating peptides (CPPs) in vitro and in vivo. However, the internalization mechanism of CPPs is an unresolved issue to date, with dramatic changes in view regarding the involvement of endocytosis as a pathway of internalization. A key reason for the lack of consensus on the mechanism can be attributed to the methodology in deciphering the internalization mechanism. In this review, we highlight some of the methodology concerns, focus more on the internalization pathway and also provide a novel perspective about the intracellular processing of CPPs, which is a crucial aspect to consider when selecting a cell penetrating peptide as a drug delivery system. In addition, recent applications of cell penetrating peptides for the delivery of small molecules, peptides, proteins, oligonucleotides, nanoparticles and liposomes have been reviewed.