Instrument automation, technological advancements and improved computational power made separation science an extremely data-rich approach, requiring the use of statistical and data analysis tools that are able to optimize processes and combine multiple outputs. The use of chemometrics is growing, greatly improving the ability to extract meaningful information. Separation–multidetection generates multidimensional data, whose elaboration should not be left to the discretion of the operator. However, some applications or techniques still suffer from the lack of method optimization through DoE and downstream multivariate analysis, limiting their potential. This review aims at summarizing how chemometrics can assist analytical chemists in terms of data elaboration and method design, focusing on what can be achieved by applying chemometric approaches to separation science. Recent applications of chemometrics in separation analyses, in particular in gas, liquid and size-exclusion chromatography, together with field flow fractionation, will be detailed to visualize the state of the art of separation chemometrics, encompassing volatile, soluble and solid (colloidal) analytes. The samples considered will range from food chemistry and environmental chemistry to bio/pharmaceutical science.