Along with the development of hydrogen as a sustainable energy carrier, it is imperative to develop very rapid and sensitive hydrogen leaks sensors due to the highly explosive and flammable character of this gas. For this purpose, palladium-based materials are being widely investigated by research teams because of the high affinity between this metal and hydrogen. Furthermore, nanostructured palladium may provide improved sensing performances compared to the use of bulk palladium. This arises from a higher effective surface available for interaction of palladium with the hydrogen gas molecules. Several works taking advantage of palladium nanostructures properties for hydrogen sensing applications have been published. This paper reviews the recent advances reported in the literature in this scope. The electrical and optical detection techniques, most common ones, are investigated and less common techniques such as gasochromic and surface wave acoustic sensors are also addressed. Here, the sensor performances are mostly evaluated by considering their response time and limit of detection.