Selective androgen receptor modulators (SARMs) are performance-enhancing drugs (PEDs) that stimulate anabolism, increase muscle mass and strength and promote recovery from exercise. The use of SARMs in sports is considered doping and is strictly prohibited by the World Anti-Doping Agency (WADA) and the International Federation of Horseracing Authorities (IFHA). To monitor the abuse of SARMs in sports, it is essential to develop advanced, selective and sensitive analytical methods that provide reliable results. This review evaluates the advances in this area, with a focus on the identification of target analytes related to SARMs, such as SARMs, their metabolites or markers. The aim is to identify targets that could extend the detection windows of SARMs, provide scientific support for results management and/or offer an indirect biomarker-based approach to doping control. This review also aims to evaluate the current liquid chromatography coupled to tandem mass spectrometry (LC-MS/MS) methods developed for the monitoring of SARMs in different biological matrices, including traditional matrices such as urine and serum/plasma samples, as well as alternative matrices such as dried blood spots, hair and nail samples.