α-Helices are the most frequently occurring elements of the secondary structure in water-soluble globular proteins. Their increased conformational stability is among the main reasons for the high thermal stability of proteins in thermophilic bacteria. In addition, α-helices are often involved in protein interactions with other proteins, nucleic acids, and the lipids of cell membranes. That is why the highly stable α-helical peptides used as highly active and specific inhibitors of protein–protein and other interactions have recently found more applications in medicine. Several different approaches have been developed in recent years to improve the conformational stability of α-helical peptides and thermostable proteins, which will be discussed in this review. We also discuss the methods for improving the permeability of peptides and proteins across cellular membranes and their resistance to intracellular protease activity. Special attention is given to the SEQOPT method (http://mml.spbstu.ru/services/seqopt/), which is used to design conformationally stable short α-helices.