The most commonly used methods to electrodeposit nanomaterials on conductive supports or to obtain electrosynthesis nanomaterials are described. Au, layered double hydroxides (LDHs), metal oxides, and polymers are the classes of compounds taken into account. The electrochemical approach for the synthesis allows one to obtain nanostructures with well-defined morphologies, even without the use of a template, and of variable sizes simply by controlling the experimental synthesis conditions. In fact, parameters such as current density, applied potential (constant, pulsed or ramp) and duration of the synthesis play a key role in determining the shape and size of the resulting nanostructures. This review aims to describe the most recent applications in the field of electrochemical sensors of the considered nanomaterials and special attention is devoted to the analytical figures of merit of the devices.