Methods with a high sensitivity and high separation efficiency are goals in analytical separation techniques. On-line sample concentration techniques in capillary electrophoresis (CE) separations have rapidly grown in popularity over the past few years because they achieve this goal. This review describes the methodology and theory associated with a number of different techniques, including electrokinetic and chromatographic methods. For small molecules, several on-line concentration methods based on velocity gradient techniques are described, in which the electrophoretic velocities of the analyte molecules are manipulated by field amplification, sweeping, and isotachophoretic migration, resulting in the on-line concentration of the analyte zones. In addition, the on-line concentration methods for macromolecules are described, since the techniques used for macromolecules (DNAs and proteins), are different from those for small molecules, with respect to either mechanism or methodology. Recent studies relating to this topic are also discussed, including electrophoretic and chromatographic techniques on capillary or microchip.