Modern lower limb prostheses have the capability to replace missing body parts and improve the patients’ quality of life. However, missing environmental information often makes a seamless adaptation to transitions between different forms of locomotion challenging. The aim of this review is to identify the progress made in this area over the last decade, addressing two main questions: which types of novel sensors for environmental awareness are used in lower limb prostheses, and how do they enhance device control towards more comfort and safety. A literature search was conducted on two Internet databases, PubMed and IEEE Xplore. Based on the criteria for inclusion and exclusion, 32 papers were selected for the review analysis, 18 of those are related to explicit environmental sensing and 14 to implicit environmental sensing. Characteristics were discussed with a focus on update rate and resolution as well as on computing power and energy consumption. Our analysis identified numerous state-of-the-art sensors, some of which are able to “look through” clothing or cosmetic covers. Five control categories were identified, how “next generation prostheses” could be extended. There is a clear tendency towards more upcoming object or terrain prediction concepts using all types of distance and depth-based sensors. Other advanced strategies, such as bilateral gait segmentation from unilateral sensors, could also play an important role in movement-dependent control applications. The studies demonstrated promising accuracy in well-controlled laboratory settings, but it is unclear how the systems will perform in real-world environments, both indoors and outdoors. At the moment the main limitation proves to be the necessity of having an unobstructed field of view.