Structural health monitoring (SHM) (early detection of degradation, cracks, and damage) of civil engineering infrastructures plays a vital role in extending their service lifespans and decreasing maintenance costs. Thus, self-sensing cementitious composites have attracted significant attention in recent years. However, application of self-sensing cementitious composites in SHM still faces several challenges. This review summarises the latest advances in self-sensing cementitious composites. First, the components of self-sensing cementitious composites featuring matrix materials, conductive fillers (metal- and carbon-based), dispersion techniques for carbon-based conductive fillers, fabrication, measurement systems, and conductivity mechanisms are discussed. The electromechanical characteristics of self-sensing cementitious composites and challenges posed in their application are comprehensively and critically discussed.