Multi-walled carbon nanotubes (MWCNT) have provided unprecedented advances in the design of electrochemical sensors. They are composed by sp2 carbon units oriented as multiple concentric tubes of rolled-up graphene, and present remarkable active surface area, chemical inertness, high strength, and low charge-transfer resistance in both aqueous and non-aqueous solutions. MWCNT are very versatile and have been boosting the development of a new generation of electrochemical sensors with application in medicine, pharmacology, food industry, forensic chemistry, and environmental fields. This work highlights the most important synthesis methods and relevant electrochemical properties of MWCNT for the construction of electrochemical sensors, and the numerous configurations and successful applications of these devices. Thousands of studies have been attesting to the exceptional electroanalytical performance of these devices, but there are still questions in MWCNT electrochemistry that deserve more investigation, aiming to provide new outlooks and advances in this field. Additionally, MWCNT-based sensors should be further explored for real industrial applications including for on-line quality control.