Nanoparticles (Nps) have revolutionized the landscape of many treatments, by modifying not only pharmacokinetic properties of the encapsulated agent, but also providing a significant protection of the drug from non-desired interactions, and reducing side-effects of the enclosed therapeutic, enabling co-encapsulation of possibly synergistic compounds or activities, allowing a controlled release of content and improving the therapeutic effect. Nevertheless, in systemic circulation, Nps suffer a rapid removal by opsonisation and the action of Mononuclear phagocyte system (MPS). To overcome this problem, different polymers, in particular Polyethyleneglycol (PEG), have been used to cover the surface of these nanocarriers forming a hydrophilic layer that allows the delay of the removal. These advantages contrast with some drawbacks such as the difficulty to interact with cell membranes and the development of immunological reactions, conforming the known, “PEG dilemma”. To address and minimize this phenomenon, different strategies have been applied. Therefore, this review aims to summarize the state of the art of Pegylation strategies, comment in depth on the principal characteristics of PEG and describe the main alternatives, which are the use of cleavable PEG, addition of different polymers or even use other derivatives of cell membranes to camouflage Nps.