Sensitive, accurate, and reliable detection of explosives has become one of the major needs for international security and environmental protection. Colloidal quantum dots, because of their unique chemical, optical, and electrical properties, as well as easy synthesis route and functionalization, have demonstrated high potential to meet the requirements for the development of suitable sensors, boosting the research in the field of explosive detection. Here, we critically review the most relevant research works, highlighting three different mechanisms for explosive detection based on colloidal quantum dots, namely photoluminescence, electrochemical, and chemoresistive sensing. We provide a comprehensive overview and an extensive discussion and comparison in terms of the most relevant sensor parameters. We highlight advantages, limitations, and challenges of quantum dot-based explosive sensors and outline future research directions for the advancement of knowledge in this surging research field.