Sarcomas are rare, heterogeneous mesenchymal neoplasms with various subtypes, each exhibiting unique genetic characteristics. Although studies have been conducted to improve the treatment for sarcomas, the specific development from normal somatic cells to sarcoma cells is still unclear and needs further research. The diagnosis of sarcomas depends heavily on the pathological examination, which is yet a difficult work and requires expert analysis. Advanced treatment like precise medicine optimizes the efficacy of treatment and the prognosis of sarcoma patients, yet, in sarcomas, more studies should be done to put such methods in clinical practice. The revolution of advanced technology has pushed the multi-omics approach to the front, and more could be learnt in sarcomas with such methods. Multi-omics combines the character of each omics techniques, analyzes the mechanism of tumor cells from different levels, which makes up for the shortage of single-omics, and gives us an integrated picture of bioactivities inside tumor cells. Multi-omics research of sarcomas has reached appreciable progress in recent years, leading to a better understanding of the mutation, proliferation, and metastasis of sarcomas. With the help of multi-omics approach, novel biomarkers were found, with promising effects in improving the process of diagnosis, prognosis anticipation, and treatment decision. By analyzing large amounts of biological features, subtype clustering could be done in a better precision, which may be useful in the clinical procedure. In this review, we summarized recent discoveries using multi-omics approach in sarcomas, discussed their merits and challenges, and concluded with future perspectives of the sarcoma research.