Groups of animals inhabit vastly different sensory worlds, or umwelten, which shape fundamental aspects of their behaviour. Yet the sensory ecology of species is rarely incorporated into the emerging field of collective behaviour, which studies the movements, population-level behaviours, and emergent properties of animal groups. Here, we review the contributions of sensory ecology and collective behaviour to understanding how animals move and interact within the context of their social and physical environments. Our goal is to advance and bridge these two areas of inquiry and highlight the potential for their creative integration. To achieve this goal, we organise our review around the following themes: (1) identifying the promise of integrating collective behaviour and sensory ecology; (2) defining and exploring the concept of a ‘sensory collective’; (3) considering the potential for sensory collectives to shape the evolution of sensory systems; (4) exploring examples from diverse taxa to illustrate neural circuits involved in sensing and collective behaviour; and (5) suggesting the need for creative conceptual and methodological advances to quantify ‘sensescapes’. In the final section, (6) applications to biological conservation, we argue that these topics are timely, given the ongoing anthropogenic changes to sensory stimuli (e.g. via light, sound, and chemical pollution) which are anticipated to impact animal collectives and group-level behaviour and, in turn, ecosystem composition and function. Our synthesis seeks to provide a forward-looking perspective on how sensory ecologists and collective behaviourists can both learn from and inspire one another to advance our understanding of animal behaviour, ecology, adaptation, and evolution.