One of the fastest ways for the discovery, understanding, development, and further optimization of new complex materials is the application of combinatorial analysis methodologies, which have already shown impressive results for different organic and inorganic materials, leading to the fast development of different scientific fields and industrial applications. However, in the case of thinfilm materials for optoelectronic devices and, in particular, for second-generation photovoltaic (PV) devices, the application of combinatorial analysis is still quite uncommon with a desultory rather than systematic application. The present review discusses the main constraints for the application of combinatorial analysis to thin-film materials with a focus on chalcogenide compounds and different strategies to overcome them. Special attention is paid to the requirements for the preparation of graded thin films, characterization, and analysis of the results, providing different hints for the implementation of high-quality combinatorial analysis. Finally, an overview of the currently published results in the field of chalcogenide thin-film PV technologies is presented, showing the relevance of the combinatorial approach for boosting the development not only of this promising PV technology, but also of other optoelectronic devices based on complex materials and multilayered structures.