Lipids are naturally occurring organic compounds that can be classified into a number of types based on their solubility in nonpolar organic solvents, and are generally insoluble in water. The great structural variety of these various types of lipids has led them to be components of many different biological substances such as oils, waxes, cellular membranes, tissues and biological fluids. The use of capillary electrophoresis (CE) for the study of lipids during the past 30 years has been relatively rare when compared to its use for other classes of biomolecules, primarily due to their insolubility in water. However, a number of interesting studies have been conducted, and as part of this review, we will present the different approaches that were used, which mainly consist of micellar kinetic chromatography and non-aqueous CE. The main advantages of the use of these techniques compared to GC is the very simple sample preparation that is required and, compared to LC, the very robust and quick separations that can be obtained. In this review, we present the various methods that have been reported in the literature that have been used for the study of fatty acids, phospholipids, glycerides, eicosanoids and sterols, with the inclusion of various tables presenting descriptions of the CE methods used as well as the methods of detection, including UV absorbance, fluorescence, mass spectrometry, and conductivity. This review aims to demonstrate that CE can be easily used for the analysis of lipids.