The theoretical aspects of stir bar sorptive extraction (SBSE), as well as the recent applications of this technique in pharmaceutical, biomedical, environmental, and food analysis, and recently developed new coating procedures are reviewed. A general overview of the important factors to be evaluated in the optimization of extraction efficiency such as extraction time, matrix pH, ionic strength, effect of organic additives, temperature, agitation, pre-extraction derivatization reactions, influence of proteins, and desorption conditions are discussed. An impressive number of applications using SBSE have been published in different areas including biological, environmental, and food, showing the advantages of this technique over the classical extraction techniques (liquid-liquid extraction (LLE), Soxhlet). Although the different SBSE applications use PDMS phase as sorbent, developments of new phases are necessary for specific applications. In this review, recent SBSE developments are shown with a focus on the development of new instrumental approaches and sorbent phases.