Endosomal escape in cell-penetrating peptide (CPP)-based drug/macromolecule delivery systems is frequently insufficient. The CPP-fused molecules tend to remain trapped inside endosomes and end up being degraded rather than delivered into the cytosol. One of the methods for endosomal escape of CPP-fused molecules is photochemical internalization (PCI), which is based on the use of light and a photosensitizer and relies on photoinduced endosomal membrane destabilization to release the cargo molecule. Currently, it remains unclear how this delivery strategy behaves after photostimulation. Recent findings, including our studies using CPP-cargo-photosensitizer conjugates, have shed light on the photoinduced endosomal escape mechanism. In this review, we discuss the structural design of CPP-photosensitizer and CPP-cargo-photosensitizer conjugates, and the PCI mechanism underlying their application.