Sarcomas are a rare group of mesenchymal cancers comprising over 70 different histological subtypes. For the majority of these diseases, the molecular understanding of the basis of their initiation and progression remains unclear. As such, limited clinical progress in prognosis or therapeutic regimens have been made over the past few decades. Proteomics techniques are being increasingly utilised in the field of sarcoma research. Proteomic research efforts have thus far focused on histological subtype characterisation for the improvement of biological understanding, as well as for the identification of candidate diagnostic, predictive, and prognostic biomarkers for use in clinic. However, the field itself is in its infancy, and none of these proteomic research findings have been translated into the clinic. In this review, we provide a brief overview of the proteomic strategies that have been employed in sarcoma research. We evaluate key proteomic studies concerning several rare and ultra-rare sarcoma subtypes including, gastrointestinal stromal tumours, osteosarcoma, liposarcoma, leiomyosarcoma, malignant rhabdoid tumours, Ewing sarcoma, myxofibrosarcoma, and alveolar soft part sarcoma. Consequently, we illustrate how routine implementation of proteomics within sarcoma research, integration of proteomics with other molecular profiling data, and incorporation of proteomics into clinical trial studies has the potential to propel the biological and clinical understanding of this group of complex rare cancers moving forward.