Despite the recent increase in the development of bioactive molecules in the drug industry, the enormous chemical space and lack of productivity are still important issues. Additional alternative approaches to screen and locate bioactive molecules are urgently needed. Label‐free bio‐affinity mass spectrometry (BA‐MS) provides opportunities for the discovery and development of innovative drugs. This review provides a comprehensive portrayal of BA‐MS techniques and of their applications in screening and locating bioactive molecules. After introducing the basic principles, alongside some application notes, the current state‐of‐the‐art of BA‐MS‐assisted drug discovery is discussed, including native MS, size‐exclusion chromatography‐MS, ultrafiltration‐MS, solid‐phase micro‐extraction‐MS, and cell membrane chromatography‐MS. Finally, several challenges and limitations of the current methods are summarized, with a view to potential future directions for BA‐MS‐assisted drug discovery. © 2019 John Wiley & Sons Ltd. Mass Spec Rev