Molybdenum-based materials have been intensively investigated for high-performance gas sensor applications. Particularly, molybdenum oxides and dichalcogenides nanostructures have been widely examined due to their tunable structural and physicochemical properties that meet sensor requirements. These materials have good durability, are naturally abundant, low cost, and have facile preparation, allowing scalable fabrication to fulfill the growing demand of susceptible sensor devices. Significant advances have been made in recent decades to design and fabricate various molybdenum oxides- and dichalcogenides-based sensing materials, though it is still challenging to achieve high performances. Therefore, many experimental and theoretical investigations have been devoted to exploring suitable approaches which can significantly enhance their gas sensing properties. This review comprehensively examines recent advanced strategies to improve the nanostructured molybdenum-based material performance for detecting harmful pollutants, dangerous gases, or even exhaled breath monitoring. The summary and future challenges to advance their gas sensing performances will also be presented.