Quantum-dot-based photoelectrochemical sensors are powerful alternatives for the detection of chemicals and biochemical molecules compared to other sensor types, which is the primary reason as to why they have become a hot topic in nanotechnology-related analytical methods. These sensors basically consist of QDs immobilized by a linking molecule (linker) to an electrode, so that upon their illumination, a photocurrent is generated which depends on the type and concentration of the respective analyte in the immediate environment of the electrode. The present review provides an overview of recent developments in the fabrication methods and sensing concepts concerning direct and indirect interactions of the analyte with quantum dot modified electrodes. Furthermore, it describes in detail the broad range of different sensing applications of such quantum-dot-based photoelectrochemical sensors for inorganic and organic (small and macro-) molecules that have arisen in recent years. Finally, a number of aspects concerning current challenges on the way to achieving real-life applications of QD-based photochemical sensing are addressed.