Optical microcavities are compact structures that confine resonant photons in microscale dimensions for long periods of time, greatly enhancing light–matter interactions. Plentiful and profound physical mechanisms within these microcavities or functional microcavities have been extensively explored, including mode shift/splitting/broadening, lasing and gain enhancements, surface plasmon resonance, fluorescence resonance energy transferring, optical frequency comb spectroscopy, optomechanical interaction, and exceptional point. The versatility in design and the diverse range of materials, particularly composites involving metals and 2-dimensional materials, have paved a way for innovative approaches and improved performance in biochemical sensing applications. Leveraging the advantages ranging from miniaturization, high sensitivity, rapid response, and inherent stability, optical microcavity-based biochemical sensors have emerged to address the growing and increasingly complex demands of biochemical detection. This review commences with an exploration of fundamental mechanisms and structures and then delves into typical applications in recent advancements, covering the detection of biomacromolecules, cells, solid particles, liquid ions, and gas molecules. This review also culminates with a forward-looking perspective, highlighting future development trends and crucial research directions.