Covalent organic frameworks (COFs) are an emerging type of porous crystalline polymers formed by combining strong covalent bonds with organic building blocks. Due to their large surface area, high intrinsic pore space, good crystallization properties, high stability, and designability of the resultant units, COFs are widely studied and used in the fields of gas adsorption, drug transport, energy storage, photoelectric catalysis, electrochemistry, and sensors. In recent years, the rapid development of the Internet of Things and people’s yearning for a better life have put forward higher and more requirements for sensors, which are the core components of the Internet of Things. Therefore, this paper reviews the recent progress of COFs in synthesis methods and sensing applications, especially in the last five years. This paper first introduces structure, properties, and synthesis methods of COFs and discusses advantages and disadvantages of different synthesis methods. Then, the research progress of COFs in different sensing fields, such as metal ion sensors, gas sensors, biomedical sensors, humidity sensors, and pH sensors, is introduced systematically. Conclusions and prospects are also presented in order to provide a reference for researchers concerned with COFs and sensors.