Nearly all processes in living organisms are controlled and regulated by the synergy of many biomolecule interactions involving proteins, peptides, nucleic acids, nucleotides, saccharides, and small molecular weight ligands. There is growing interest in understanding them, not only for the purposes of interactomics as an essential part of system biology, but also in their further elucidation in disease pathology, diagnostics, and treatment. The necessity of detailed investigation of these interactions leads to the requirement of laboratory methods characterized by high efficiency and sensitivity. As a result, many instrumental approaches differing in their fundamental principles have been developed, including those based on capillary electrophoresis. Although capillary electrophoresis offers numerous advantages for such studies, it still has one serious limitation, its poor concentration sensitivity with the most commonly used detection method-ultraviolet-visible spectrometry. However, coupling capillary electrophoresis with a more sensitive detector fulfils the above-mentioned requirement. In this review, capillary electrophoresis combined with fluorescence, mass spectrometry, and several nontraditional detection techniques in affinity interaction studies are summarized and discussed, together with the possibility of conducting these measurements in microchip format.