Magnetoresistance (MR) is the variation of a material’s resistivity under the presence of external magnetic fields. Reading heads in hard disk drives (HDDs) are the most common applications of MR sensors. Since the discovery of giant magnetoresistance (GMR) in the 1980s and the application of GMR reading heads in the 1990s, the MR sensors lead to the rapid developments of the HDDs’ storage capacity. Nowadays, MR sensors are employed in magnetic storage, position sensing, current sensing, non-destructive monitoring, and biomedical sensing systems. MR sensors are used to transfer the variation of the target magnetic fields to other signals such as resistance change. This review illustrates the progress of developing nanoconstructed MR materials/structures. Meanwhile, it offers an overview of current trends regarding the applications of MR sensors. In addition, the challenges in designing/developing MR sensors with enhanced performance and cost-efficiency are discussed in this review.