Semiochemicals are chemical compounds that are released by many species as a means of intra- and interspecific communication. Insects have extremely advanced olfactory systems; indeed, they rely on smell when performing many of their main behaviors, such as oviposition, breeding, prey location, and defense. This characteristic of insects implies that semiochemicals could be used for various applications, including in agriculture, where they could be employed along with other tools to control pest insects. The aim of this review is to present the main techniques used and the state of the art in the detection of semiochemicals, focusing on pheromones. In addition to the traditional methods of identifying semiochemicals, such as gas chromatography coupled to a high-resolution detection mode (e.g., flame ionization (FID), electron capture (ECD), photoionization (PID), or mass spectrometry (MS)), other tools are addressed in this review, including sensors and biosensors. While these new technologies may be used under laboratory conditions to improve or complement technologies that are already being used, they are mainly intended for use as new agricultural tools for detecting and controlling pest insects in the field.