Auxetic materials exhibit a negative Poisson’s ratio under tension or compression, and such counter-intuitive behavior leads to enhanced mechanical properties such as shear resistance, impact resistance, and shape adaptability. Auxetic materials with these excellent properties show great potential applications in personal protection, medical health, sensing equipment, and other fields. However, there are still many limitations in them, from laboratory research to real applications. There have been many reported studies applying auxetic materials or structures to the development of sensing devices in anticipation of improving sensitivity. This review mainly focuses on the use of auxetic materials or auxetic structures in sensors, providing a broad review of auxetic-based sensing devices. The material selection, structure design, preparation method, sensing mechanism, and sensing performance are introduced. In addition, we explore the relationship between the auxetic mechanism and the sensing performance and summarize how the auxetic behavior enhances the sensitivity. Furthermore, potential applications of sensors based on the auxetic mechanism are discussed, and the remaining challenges and future research directions are suggested. This review may help to promote further research and application of auxetic sensing devices.