The brain is a complex network that accounts for only 5% of human mass but consumes 20% of our energy. Uncovering the mysteries of the brain’s functions in motion, memory, learning, behavior, and mental health remains a hot but challenging topic. Neurochemicals in the brain, such as neurotransmitters, neuromodulators, gliotransmitters, hormones, and metabolism substrates and products, play vital roles in mediating and modulating normal brain function, and their abnormal release or imbalanced concentrations can cause various diseases, such as epilepsy, Alzheimer’s disease, and Parkinson’s disease. A wide range of techniques have been used to probe the concentrations of neurochemicals under normal, stimulated, diseased, and drug-induced conditions in order to understand the neurochemistry of drug mechanisms and develop diagnostic tools or therapies. Recent advancements in detection methods, device fabrication, and new materials have resulted in the development of neurochemical sensors with improved performance. However, direct in vivo measurements require a robust sensor that is highly sensitive and selective with minimal fouling and reduced inflammatory foreign body responses. Here, we review recent advances in neurochemical sensor development for in vivo studies, with a focus on electrochemical and optical probes. Other alternative methods are also compared. We discuss in detail the in vivo challenges for these methods and provide an outlook for future directions.