Neurochemicals, crucial for nervous system function, influence vital bodily processes and their fluctuations are linked to neurodegenerative diseases and mental health conditions. Monitoring these compounds is pivotal, yet the intricate nature of the central nervous system poses challenges. Researchers have devised methods, notably electrochemical sensing with micro-nanoscale electrodes, offering high-resolution monitoring despite low concentrations and rapid changes. Implantable sensors enable precise detection in brain tissues with minimal damage, while microdialysis-coupled platforms allow in vivo sampling and subsequent in vitro analysis, addressing the selectivity issues seen in other methods. While lacking temporal resolution, techniques like HPLC and CE complement electrochemical sensing’s selectivity, particularly for structurally similar neurochemicals. This review covers essential neurochemicals and explores miniaturized electrochemical sensors for brain analysis, emphasizing microdialysis integration. It discusses the pros and cons of these techniques, forecasting electrochemical sensing’s future in neuroscience research. Overall, this comprehensive review outlines the evolution, strengths, and potential applications of electrochemical sensing in the study of neurochemicals, offering insights into future advancements in the field.