In manufacturing industry, process monitoring is a key to observe the product quality, operational health, safety and also for achieving good/satisfactory process control performance. In polymer processing, the level of control of the process operational quality is vastly dependent upon the performance of the process monitoring techniques as it is quite difficult to observe the inside of an extruder barrel (or processing chamber) during the process operation. Currently, a number of physical sensing devices/techniques are widely available for industrial applications for monitoring of parameters such as melt temperature, melt pressure, screw/processing speed, product dimensions, etc in real-time. However, there may be some limitations in using physical sensors in piratical process measurements (such as melt viscosity and melt temperature profile) due to several constraints such as their access requirements, disruptive effects to the melt flow, fragility, complexity, etc. Therefore, soft sensing techniques should be highly useful for improved process monitoring and modelling, and hence for advanced process control. In this work, a general description is presented on the state-of-the-art of soft sensor design. Then, a comprehensive review is made on the use of soft sensing techniques in polymer processing applications while identifying their capabilities and limitations. Eventually, the importance of developing of such soft sensing techniques (together with some sort of built-on intelligence) for the advancement of process monitoring is discussed while indicating some of the possible directions for future industry.