Over the past years, a great effort has been devoted to the development of new sorbents that can be used to pack or to coat extractive capillaries for in-tube solid-phase microextraction (IT-SPME). Many of those efforts have been focused on the preparation of capillaries for miniaturized liquid chromatography (LC) due to the reduced availability of capillary columns with appropriate dimensions for this kind of system. Moreover, many of the extractive capillaries that have been used for IT-SPME so far are segments of open columns from the gas chromatography (GC) field, but the phase nature and dimensions are very limited. In particular, polar compounds barely interact with stationary GC phases. Capillary GC columns may also be unsuitable when highly selective extractions are needed. In this work, we provide an overview of the extractive capillaries that have been specifically developed for capillary LC (capLC) and nano LC (nanoLC) to enhance the overall performance of the IT-SPME, the chromatographic separation, and the detection. Different monolithic polymers, such as silica C18 and C8 polymers, molecularly imprinted polymers (MIPs), polymers functionalized with antibodies, and polymers reinforced with different types of carbon nanotubes, metal, and metal oxide nanoparticles (including magnetic nanoparticles), and restricted access materials (RAMs) will be presented and critically discussed.