The present review presents the most recent developments concerning the application of sensory polymers in the detection and quantification of different target species. We will firstly describe the main polymers that are being employed as sensory polymers, including, for example, conducting or acrylate-based polymers. In the second part of the review, we will briefly describe the different mechanisms of detection and the target species, such as metal cations and anions, explosives, and biological and biomedical substances. To conclude, we will describe the advancements in recent years concerning the fabrication of micro and nano sensory devices based on smart polymers, with a bibliographic revision of the research work published between 2005 and today, with special emphasis on research work presented since 2010. A final section exposing the perspectives and challenges of this interesting research line will end the present review article.