Affinity photo-cross-linking coupled to mass spectrometry, using benzophenone (Bzp)-functionalized peptides, was used to study the noncovalent interactions of cell-penetrating peptides and lipid membranes. Using biomimetic lipid vesicles composed of saturated and unsaturated negatively charged lipids, DMPG (14:0), DPPG (16:0), DOPG (18:1 cis Δ9), 18:1 (trans Δ9) PG, and DLoPG (18:2 cis Δ9, 12), allowed observation of all the classical and less common reactivities of Bzp described in the literature by direct MS analysis: C═C double bond formation on saturated fatty acids, covalent adducts formation via classical C-C bond, and Paternò-Büchi oxetane formation followed or not by fragmentation (retro-Paternò-Büchi) as well as photosensitization of unsaturated lipids leading to lipid dimers. All these reactions can occur concomitantly in a single complex biological system: a membrane-active peptide inserted within a phospholipid bilayer. We also detect oxidation species due to the presence of radical oxygen species. This work represents a noteworthy improvement for the characterization of interacting partners using Bzp photo-cross-linking, and it shows how to exploit in an original way the different reactivities of Bzp in the context of a lipid membrane. We propose an analytical workflow for the interpretation of MS spectra, giving access to information on the CPP/lipid interaction at a molecular level such as depth of insertion or membrane fluidity in the CPP vicinity. An application of this workflow illustrates the role of cholesterol in the CPP/lipids interaction.