This review summarizes the recent research efforts and developments in nanomaterials for sensing volatile organic compounds (VOCs). The discussion focuses on key materials such as metal oxides (e.g., ZnO, SnO2, TiO2 WO3), conductive polymers (e.g., polypyrrole, polythiophene, poly(3,4-ethylenedioxythiophene)), and carbon-based materials (e.g., graphene, graphene oxide, carbon nanotubes), and their mutual combination due to their representativeness in VOCs sensing. Moreover, it delves into the main characteristics and tuning of these materials to achieve enhanced functionality (sensitivity, selectivity, speed of response, and stability). The usual synthesis methods and their advantages towards their integration with microsystems for practical applications are also remarked on. The literature survey shows the most successful systems include structured morphologies, particularly hierarchical structures at the nanometric scale, with intentionally introduced tunable “decorative impurities” or well-defined interfaces forming bilayer structures. These groups of modified or functionalized structures, in which metal oxides are still the main protagonists either as host or guest elements, have proved improvements in VOCs sensing. The work also identifies the need to explore new hybrid material combinations, as well as the convenience of incorporating other transducing principles further than resistive that allow the exploitation of mixed output concepts (e.g., electric, optic, mechanic).