Exceptional points are degeneracies where at least two eigenvalues and corresponding eigenstates coalesce simultaneously in the parameter space of non-Hermitian systems. The appealing optical phenomena that occur near exceptional points, especially the ultrasensitivity of frequency splitting to tiny perturbations, have important applications in ultrasensitive optical sensing. This review first introduces exceptional points and related theories in optical sensing. Subsequently, it analyzes the difference between exceptional-point sensing and diabolic-point sensing. Finally, having jointed latest researches at home and abroad, a variety of sensing applications based on exceptional points, including nanoparticle detection, temperature sensing, refractive index sensing, optical gyroscope, and graphene biochemical or chemical sensing, are reviewed.