Toll-like receptors (TLRs) are vital elements of the mammalian immune system that function by recognizing pathogen-associated molecular patterns (PAMPs), bridging innate and adaptive immunity. They have become a prominent therapeutic target for the treatment of infectious diseases, cancer, and allergies, with many TLR agonists currently in clinical trials or approved as immunostimulants. Numerous studies have shown that conjugation of TLR agonists to other molecules can beneficially influence their potency, toxicity, pharmacokinetics, or function. The functional properties of TLR agonist conjugates, however, are highly dependent on the ligation strategy employed. Here, we review the chemical structural requirements for effective functional TLR agonist conjugation. In addition, we provide similar analysis for those that have yet to be conjugated. Moreover, we discuss applications of covalent TLR agonist conjugation and their implications for clinical use.