Cyanobacteria are ubiquitous oxygenic photosynthetic bacteria with a versatile metabolism that is highly dependent on effective protein targeting. Protein sorting in diderm bacteria is not trivial and, in cyanobacteria, even less so due to the presence of a complex membrane system: the outer membrane, the plasma membrane and the thylakoid membrane. In cyanobacteria, protein import into the thylakoids is essential for photosynthesis, export to the periplasm fulfills a multifunctional role in maintaining cell homeostasis, and secretion mediates motility, DNA uptake and environmental interactions. Intriguingly, only one set of genes for the general secretory and the twin-arginine translocation pathways seem to be present. However, these systems have to operate in both plasma and thylakoid membranes. This raises the question of how substrates are recognized and targeted to their correct, final destination. Additional complexities arise when a protein has to be secreted across the outer membrane, where very little is known regarding the mechanisms involved. Given their ecological importance and biotechnological interest, a better understanding of protein targeting in cyanobacteria is of great value. This review will provide insights into the known knowns of protein targeting, propose hypotheses based on available genomic sequences and discuss future directions.