Carbon nanomaterials are advantageous for electrochemical sensors because they increase the electroactive surface area, enhance electron transfer, and promote adsorption of molecules. Carbon nanotubes (CNTs) have been incorporated into electrochemical sensors for biomolecules and strategies have included the traditional dip coating and drop casting methods, direct growth of CNTs on electrodes and the use of CNT fibers and yarns made exclusively of CNTs. Recent research has also focused on utilizing many new types of carbon nanomaterials beyond CNTs. Forms of graphene are now increasingly popular for sensors including reduced graphene oxide, carbon nanohorns, graphene nanofoams, graphene nanorods, and graphene nanoflowers. In this review, we compare different carbon nanomaterial strategies for creating electrochemical sensors for biomolecules. Analytes covered include neurotransmitters and neurochemicals, such as dopamine, ascorbic acid, and serotonin; hydrogen peroxide; proteins, such as biomarkers; and DNA. The review also addresses enzyme-based electrodes that are used to detect non-electroactive species such as glucose, alcohols, and proteins. Finally, we analyze some of the future directions for the field, pointing out gaps in fundamental understanding of electron transfer to carbon nanomaterials and the need for more practical implementation of sensors.