Olive oil, obtained from Olea europaea L. (Oleaceae) fruits, is an important ingredient in the Mediterranean diet. The purpose of this paper is to review and evaluate olive oil analysis using capillary electrophoresis (CE). This review covers a selection of the literature published on this topic over the past decade. The current state of the art of the topic is evaluated, with special emphasis on separation conditions, analysis purpose, and analytes investigated. CE has been used to characterize or to carry out authenticity studies. Particular attention has been focused on the botanical origin because high-quality monovarietal olive oils have been recently introduced on the markets and their quality control requires the development of new and powerful analytical tools as well as new regulations to avoid fraud. CE represents a good compromise between sample throughput, sample volume, satisfactory characterization, and sustainability for the analysis of target compounds present in olive oils.