The Pycnogonida or sea spiders are exclusively marine invertebrates, numbering about 1,300 described species worldwide. Given their remarkable position in phylogeny as basal chelicerates or even basal euarthropods, the structure of their sense organs can reveal important characters, which—in a comparative framework—provide arguments to phylogenetic discussions and help to develop scenarios of evolutionary transformations. This review summarizes current knowledge and presents new original data on the sense organs in pycnogonids, that is, the eyes, the lateral sense organs and the ciliary or sensillar sense organs. Except for the eyes, there are not many detailed studies available. The ultrastructure of the R‐cells of the four eyes located on the ocular tubercle is described as “pseudoinverted”. The eyes are innervated to two visual neuropils located in the protocerebrum. The features of the lateral sense organ, also located on the ocular tubercle, are hitherto not conclusively resolved, a chemo‐ or thermoreceptive function is suggested. Finally, an overview of the various ciliary or sensillar sense organs distributed all over the body is given and the fine structure of branched setae is shown for the first time. The morphology of the sense organs of pycnogonids is compared with that of other arthropod taxa and assessed against the background of current theories of arthropod evolution.