<b><i>Background:</i></b> Prostate cancer (PCa) represents one of the most frequent malignancies and the fifth leading cause of cancer death in adult men worldwide. PCa mortality rates have been declining in several Western countries; one of the possible reasons may be related to the application of prostate-specific antigen early detection policies. These early detection protocols increase PCa-specific patient survival; however, a high percentage of these cases corresponds to low-risk PCa that grows very slowly and is unlikely to metastasize to threaten survival. Many low-risk PCa patients receive aggressive therapies, such as radical prostatectomy and radiotherapy, that are costly for patients and/or health systems and generate side effects that affect the quality of life. An alternative to surgery and radiotherapy treatments for low-risk PCa is active surveillance (AS), a strategy based on close disease monitoring and intervention only if the disease progresses. However, proper identification of low-risk PCa patients at the time of diagnosis is essential for the effectiveness AS. The selection of AS candidates remains challenging; thus, effective prognostic biomarkers are needed. <b><i>Summary:</i></b> This review article addresses the characteristics of the current and emerging PCa prognostic biomarkers, including tests available for tissue, blood, and urine analyses, for the appropriate selection of PCa patients for AS. In addition, and based on published literature, we performed a selection of potential new biomarkers that can distinguish low-risk PCa. <b><i>Key Messages:</i></b> The literature search yielded four tissue-based tests, two blood-based tests, and six urine-based tests that can be used to determine PCa risk classification. However, most available tests are expensive; thus, cost-effective analyses are needed in order to obtain the approval of government agencies and to be financed by the health systems. Available prognostic urine tests have shown great progress over the last years, and they have the advantage of being minimally invasive; therefore, they may become a routine disease progression test for patients under AS. In addition, new research conducted in the last decade has shown promising biomarkers, including mRNA, miRNA, long noncoding RNA, and metabolites, that could improve existing tests or allow the development of new tools for AS patient selection.