Diabetic nephropathy (DN) is a frequent and severe complication of diabetes mellitus (DM). Its diagnosis in incipient stages may allow prompt interventions and an improved prognosis. Towards this aim, biomarkers for detecting early DN can be used. Microalbuminuria has been proven a remarkably useful biomarker, being used for diagnosis of DN, for assessing its associated condition—mainly cardiovascular ones—and for monitoring its progression. New researches are pointing that some of these biomarkers (i.e., glomerular, tubular, inflammation markers, and biomarkers of oxidative stress) precede albuminuria in some patients. However, their usefulness is widely debated in the literature and has not yet led to the validation of a new “gold standard” biomarker for the early diagnosis of DN. Currently, microalbuminuria is an important biomarker for both glomerular and tubular injury. Other glomerular biomarkers (transferrin and ceruloplasmin) are under evaluation. Tubular biomarkers in DN seem to be of a paramount importance in the early diagnosis of DN since tubular lesions occur early. Additionally, biomarkers of inflammation, oxidative stress, podocyte biomarkers, and vascular biomarkers have been employed for assessing early DN. The purpose of this review is to provide an overview of the current biomarkers used for the diagnosis of early DN.