Cell-penetrating peptides (CPPs) are small peptides capable of translocating through biological membranes carrying various attached cargo into cells and even into the nucleus. They may also participate in transcellular transport. Our in silico study intends to model several peptides and their conjugates. We have selected three CPPs with a linear backbone, including penetratin, a naturally occurring oligopeptide; two of its modified sequence analogues (6,14-Phe-penetratin and dodeca-penetratin); and three natural CPPs with a cyclic backbone: Kalata B1, the Sunflower trypsin inhibitor 1 (SFT1), and Momordica cochinchinensis trypsin inhibitor II (MCoTI-II). We have also built conjugates with the small-molecule drug compounds doxorubicin, zidovudine, and rasagiline for each peptide. Molecular dynamics (MD) simulations were carried out with explicit membrane models. The analysis of the trajectories showed that the interaction of penetratin with the membrane led to spectacular rearrangements in the secondary structure of the peptide, while cyclic peptides remained unchanged due to their high conformational stability. Membrane-peptide and membrane-conjugate interactions have been identified and compared. Taking into account well-known examples from the literature, our simulations demonstrated the utility of computational methods for CPP complexes, and they may contribute to a better understanding of the mechanism of penetration, which could serve as the basis for delivering conjugated drug molecules to their intracellular targets.