The treatment landscape of advanced prostate cancer has completely changed during the last decades. Chemotherapy (docetaxel, cabazitaxel), androgen-receptor signaling inhibitors (ARSi) (abiraterone acetate, enzalutamide), and radium-223 have revolutionized the management of metastatic castration-resistant prostate cancer (mCRPC). Lutetium-177–PSMA-617 is also going to become another treatment option for these patients. In addition, docetaxel, abiraterone acetate, apalutamide, enzalutamide, and radiotherapy to primary tumor have demonstrated the ability to significantly prolong the survival of patients with metastatic hormone-sensitive prostate cancer (mHSPC). Finally, apalutamide, enzalutamide, and darolutamide have recently provided impactful data in patients with nonmetastatic castration-resistant disease (nmCRPC). However, which is the best treatment sequence for patients with advanced prostate cancer? This comprehensive review aims at discussing the available literature data to identify the optimal sequencing approaches in patients with prostate cancer at different disease stages. Our work also highlights the potential impact of predictive biomarkers in treatment sequencing and exploring the role of specific agents (i.e., olaparib, rucaparib, talazoparib, niraparib, and ipatasertib) in biomarker-selected populations of patients with prostate cancer (i.e., those harboring alterations in DNA damage and response genes or PTEN).