Photodynamic therapy is a minimally invasive treatment of tumors using photosensitizers, light, and reactive oxygen species, which can destroy cellular structures. With the development of photodynamic therapy, significant efforts have been made to create new efficient photosensitizers with improved delivery to cells, stability, and selectivity against cancer tissues. Naturally occurring tetrapyrrolic macrocycles, such as porphyrins and chlorins, are very attractive as photosensitizers, and their structural modification and conjugation with other biologically active molecules are promising approaches for creating new photosensitizers specifically targeting cancer cells. The present review aims to highlight recent developments in the design, preparation, and investigation of complex conjugates of tetrapyrrolic macrocycles, which can potentially be used as sensitizers for target-oriented photodynamic therapy of cancer. In this review, we discuss the structure, photodynamic effect, and anticancer activity of the following conjugates of tetrapyrrolic macrocycles: (1) conjugates obtained by modifying peripheral substituents in porphyrins and chlorins; (2) conjugates of porphyrins and chlorins with lipids, carbohydrates, steroids, and peptides; (3) conjugates of porphyrins and chlorins with anticancer drugs and some other biologically active molecules; (4) metal-containing conjugates. The question of how the conjugate structure affects its specificity, internalization, localization, and photoinduced toxicity within cancer cells is the focus of this review.