Photonic crystal fibers (PCFs) are a special class of optical fibers with a periodic arrangement of microstructured holes located in the fiber's cladding. Light confinement is achieved by means of either index-guiding, or the photonic bandgap effect in a low-index core. Ever since PCFs were first demonstrated in 1995, their special characteristics, such as potentially high birefringence, very small or high nonlinearity, low propagation losses, and controllable dispersion parameters, have rendered them unique for many applications, such as sensors, high-power pulse transmission, and biomedical studies. When the holes of PCFs are filled with solids, liquids or gases, unprecedented opportunities for applications emerge. These include, but are not limited in, supercontinuum generation, propulsion of atoms through a hollow fiber core, fiber-loaded Bose-Einstein condensates, as well as enhanced sensing and measurement devices. For this reason, infiltrated PCF have been the focus of intensive research in recent years. In this review, the fundamentals and fabrication of PCF infiltrated with different materials are discussed. In addition, potential applications of infiltrated PCF sensors are reviewed, identifying the challenges and limitations to scale up and commercialize this novel technology.