Clinical applications of protein therapeutics—an advanced generation of drugs characterized by high biological specificity—are rapidly expanding. However, their development is often impeded by unfavorable pharmacokinetic profiles and largely relies on the use of drug delivery systems to prolong their in vivo half-life and suppress undesirable immunogenicity. Although a commercially established PEGylation technology based on protein conjugation with poly(ethylene glycol) (PEG)—protective steric shield resolves some of the challenges, the search for alternatives continues. Noncovalent PEGylation, which mainly relies on multivalent (cooperative) interactions and high affinity (host–guest) complexes formed between protein and PEG offers a number of potential advantages. Among them are dynamic or reversible protection of the protein with minimal loss of biological activity, drastically lower manufacturing costs, “mix-and-match” formulations approaches, and expanded scope of PEGylation targets. While a great number of innovative chemical approaches have been proposed in recent years, the ability to effectively control the stability of noncovalently assembled protein–PEG complexes under physiological conditions presents a serious challenge for the commercial development of the technology. In an attempt to identify critical factors affecting pharmacological behavior of noncovalently linked complexes, this Review follows a hierarchical analysis of various experimental techniques and resulting supramolecular architectures. The importance of in vivo administration routes, degradation patterns of PEGylating agents, and a multitude of potential exchange reactions with constituents of physiological compartments are highlighted.