Toxic gases, such as NOx, SOx, H2S and other S-containing gases, cause numerous harmful effects on human health even at very low gas concentrations. Reliable detection of various gases in low concentration is mandatory in the fields such as industrial plants, environmental monitoring, air quality assurance, automotive technologies and so on. In this paper, the recent advances in electrochemical sensors for toxic gas detections were reviewed and summarized with a focus on NO2, SO2 and H2S gas sensors. The recent progress of the detection of each of these toxic gases was categorized by the highly explored sensing materials over the past few decades. The important sensing performance parameters like sensitivity/response, response and recovery times at certain gas concentration and operating temperature for different sensor materials and structures have been summarized and tabulated to provide a thorough performance comparison. A novel metric, sensitivity per ppm/response time ratio has been calculated for each sensor in order to compare the overall sensing performance on the same reference. It is found that hybrid materials-based sensors exhibit the highest average ratio for NO2 gas sensing, whereas GaN and metal-oxide based sensors possess the highest ratio for SO2 and H2S gas sensing, respectively. Recently, significant research efforts have been made exploring new sensor materials, such as graphene and its derivatives, transition metal dichalcogenides (TMDs), GaN, metal-metal oxide nanostructures, solid electrolytes and organic materials to detect the above-mentioned toxic gases. In addition, the contemporary progress in SO2 gas sensors based on zeolite and paper and H2S gas sensors based on colorimetric and metal-organic framework (MOF) structures have also been reviewed. Finally, this work reviewed the recent first principle studies on the interaction between gas molecules and novel promising materials like arsenene, borophene, blue phosphorene, GeSe monolayer and germanene. The goal is to understand the surface interaction mechanism.