PEGylation, covalent attaching polyethylene glycol (PEG) polymers to therapeutic agents, is one of the most promising techniques to improve the therapeutic effect of drugs. Initially, this technology is mainly applied with macromolecular drugs, such as proteins, enzymes, with ten PEGylated biomacromolecules approved by the FDA for the treatment of related diseases. The clinical successful use of PEGylated macromolecular drug has promoted the application of this technology with small molecules drugs to overcome shortcomings associated with therapy, such as possible low solubility, high toxicity, undesirable pharmaceutical characteristics and nonspecific biodistribution profiles. So far, four PEGylated small drugs have been taken into clinical trials. This review mainly focuses on the recent advances of PEGylated small molecules, including their general configuration, and the current merits and limits of PEG modification. Herein PEG delivery systems are distinguished by therapeutic application (anti-tumor, anti-inflammatory, etc.) and their corresponding PEGylated small molecules are described in detail.