Clinical practice guidelines (CPGs) play a pivotal role in ensuring evidence-based decision-making and improving patient outcomes. While Large Language Models (LLMs) are increasingly deployed in healthcare scenarios, it is unclear to which extend LLMs could identify and adhere to CPGs during conversations. To address this gap, we introduce CPGBench, an automated framework benchmarking the clinical guideline detection and adherence capabilities of LLMs in multi-turn conversations. We collect 3,418 CPG documents from 9 countries/regions and 2 international organizations published in the last decade spanning across 24 specialties. From these documents, we extract 32,155 clinical recommendations with corresponding publication institute, date, country, specialty, recommendation strength, evidence level, etc. One multi-turn conversation is generated for each recommendation accordingly to evaluate the detection and adherence capabilities of 8 leading LLMs. We find that the 71.1%-89.6% recommendations can be correctly detected, while only 3.6%-29.7% corresponding titles can be correctly referenced, revealing the gap between knowing the guideline contents and where they come from. The adherence rates range from 21.8% to 63.2% in different models, indicating a large gap between knowing the guidelines and being able to apply them. To confirm the validity of our automatic analysis, we further conduct a comprehensive human evaluation involving 56 clinicians from different specialties. To our knowledge, CPGBench is the first benchmark systematically revealing which clinical recommendations LLMs fail to detect or adhere to during conversations. Given that each clinical recommendation may affect a large population and that clinical applications are inherently safety critical, addressing these gaps is crucial for the safe and responsible deployment of LLMs in real world clinical practice.