Cyclopamine, a natural alkaloid, can act as an agonist when it binds to the Cysteine-Rich Domain (CRD) of Smoothened receptor and as an antagonist when it binds to the Transmembrane Domain (TMD). To study the effect of cyclopamine binding to each site experimentally, mutations in the other site are required. Hence, simulations are critical for understanding the WT activity due to binding at different sites. Using multi-milliseconds long aggregate MD simulations combined with Markov state models and machine learning, we explore the dynamic behavior of cyclopamine's interactions with different domains of WT SMO. A higher population of the active state at equilibrium, a lower free energy barrier of 2 kcal/mol, and expansion of hydrophobic tunnel to facilitate cholesterol transport agrees with cyclopamine's agonistic behavior when bound to CRD. A higher population of the inactive state at equilibrium, a higher free energy barrier of ~4 kcal/mol and restricted hydrophobic tunnel shows cyclopamine's antagonistic behavior when bound to TMD. With cyclopamine bound to both sites, there is a slightly larger inactive population at equilibrium and an increased free energy barrier (3.5 kcal/mol) exhibiting an overall weak antagonistic effect. These findings show cyclopamine's domain-specific modulation of SMO regulates Hedgehog signaling and cholesterol transport.