Ophthalmic drugs used for the treatment of various ocular diseases are commonly administered by eye drops. However, due to anatomical and physiological factors, there is a low bioavailability of the active principle. In order to increase the drug residence time on the cornea to adequate levels, therapeutic contact lenses have recently been proposed. The polymeric support that constitutes the contact lens is loaded with the drug; in this way, there is a direct and effective pharmacological action on the target organ, promoting a prolonged release of the active principle. The incorporation of ophthalmic drugs into contact lenses can be performed by different techniques; nowadays, the soaking method is mainly employed. To improve the therapeutic performance of drug-loaded contact lenses, innovative methods have recently been proposed, including the impregnation with supercritical carbon dioxide. This updated review of therapeutic contact lenses production and application provides useful information on the most effective preparation methodologies, recent achievements and future perspectives.