Microdialysis sampling combined with capillary electrophoresis is emerging as a new approach in drug studies. It allows the continuous monitoring, in vivo or in vitro, of changes in free endogenous compounds as well as in drug substances, following the administration of pharmacological agents. The low volume requirement of capillary electrophoresis for injection allows the collection of dialysates during short sampling times, leading to a precise temporal description of drug-induced biochemical changes or pharmacokinetics. Various protocols can be used for analyzing endogenous compounds and drug substances in microdialysis samples. Capillary electrophoresis with laser-induced fluorescence detection often affords the high sensitivity level which is needed in most studies. Furthermore, the direct on-line coupling of microdialysis, derivatization of samples, and electrophoretic analysis now brings a separation-based biosensor, allowing a real-time description of chemical events with a high molecular specificity. Microdialysis sampling combined with capillary electrophoresis has recently been used to assess pharmacodynamic and pharmacokinetic characteristics of various drugs in animal studies; it may also represent a new approach in clinical pharmacology in the near future.