Detection of nanoscale objects is highly desirable in various fields such as early-stage disease diagnosis, environmental monitoring and homeland security. Optical microcavity sensors are renowned for ultrahigh sensitivities due to strongly enhanced light-matter interaction. This review focuses on single nanoparticle detection using optical whispering gallery microcavities and photonic crystal microcavities, both of which have been developing rapidly over the past few years. The reactive and dissipative sensing methods, characterized by light-analyte interactions, are explained explicitly. The sensitivity and the detection limit are essentially determined by the cavity properties, and are limited by the various noise sources in the measurements. On the one hand, recent advances include significant sensitivity enhancement using techniques to construct novel microcavity structures with reduced mode volumes, to localize the mode field, or to introduce optical gain. On the other hand, researchers attempt to lower the detection limit by improving the spectral resolution, which can be implemented by suppressing the experimental noises. We also review the methods of achieving a better temporal resolution by employing mode locking techniques or cavity ring up spectroscopy. In conclusion, outlooks on the possible ways to implement microcavity-based sensing devices and potential applications are provided.