The present review covers recent advances and important applications of affinity capillary electrophoresis (ACE). It provides an overview about various ACE types, including ACE-MS, the multiple injection mode, the use of microchips and field-amplified sample injection-ACE. The most common scenarios of the studied affinity interactions are protein-drug, protein-metal ion, protein-protein, protein-DNA, protein-carbohydrate, carbohydrate-drug, peptide-peptide, DNA-drug and antigen-antibody. Approaches for the improvements of ACE in term of precision, rinsing protocols and sensitivity are discussed. The combined use of computer simulation programs to support data evaluation is presented. In conclusion, the performance of ACE is compared with other techniques such as equilibrium dialysis, parallel artificial membrane permeability assay, high-performance affinity chromatography as well as surface plasmon resonance, ultraviolet, circular dichroism, nuclear magnetic resonance, Fourier transform infrared, fluorescence, MS and isothermal titration calorimetry.