PEGylation technique is currently considered the gold standard approach to provide a long and safe circulation of drugs. Although this is the accepted dogma, various clinical reports and animal studies show the occurrence of immunogenic responses against polyethylene glycol (PEG) after systemic injection. These side effects, associated with complement activation and/or anti‐PEG antibody production, result in hypersensitivity reactions and lack of therapeutic efficacy of the drug during clinical protocols. Furthermore, different healthy patients show the presence of anti‐PEG antibodies in their blood stream, even though they have not received PEGylated drugs. The aim of this review is to discuss the main mechanisms based on PEG immunogenicity and its clinical implications and report the most promising approaches to reduce these unexpected side effects.