Prussian blue (PB) and its analogue (PBA) are a kind of representative cyanide-based coordination polymer. They have received enormous research interest and have shown promising applications in the electrochemical sensing field due to their excellent electrochemical activity and unique structural characteristics including open framework structure, high specific surface area, and adjustable metal active sites. In this review, we summarize the latest research progress of PB/PBA as an electrochemical sensor in detail from three aspects: fabrication strategy, synthesis method and electrochemical sensor application. For the fabrication strategy, we discussed different fabrication methods containing the combination of PBA and carbon materials, metal nanoparticles, polymers, etc., respectively, as well as their corresponding sensing mechanism for improving performance. We also presented the synthesis methods of PB/PBA materials in detail, such as: coprecipitation, hydrothermal and electrodeposition. In addition, the effects of different methods on the morphology, particle size and productivity of PB/PBA materials are also concluded. For the application of electrochemical sensors, the latest progress of such materials as electrochemical sensors for glucose, H2O2, toxic compounds, and biomolecules have been summarized. Finally, we conclude remaining challenges of PB/PBA-based materials as electrochemical sensors, and provide personal perspectives for future research in this field.