Advanced scientific and industrial equipment requires magnetic field sensors with decreased dimensions while keeping high sensitivity in a wide range of magnetic fields and temperatures. However, there is a lack of commercial sensors for measurements of high magnetic fields, from ∼1 T up to megagauss. Therefore, the search for advanced materials and the engineering of nanostructures exhibiting extraordinary properties or new phenomena for high magnetic field sensing applications is of great importance. The main focus of this review is the investigation of thin films, nanostructures and two-dimensional (2D) materials exhibiting non-saturating magnetoresistance up to high magnetic fields. Results of the review showed how tuning of the nanostructure and chemical composition of thin polycrystalline ferromagnetic oxide films (manganites) can result in a remarkable colossal magnetoresistance up to megagauss. Moreover, by introducing some structural disorder in different classes of materials, such as non-stoichiometric silver chalcogenides, narrow band gap semiconductors, and 2D materials such as graphene and transition metal dichalcogenides, the possibility to increase the linear magnetoresistive response range up to very strong magnetic fields (50 T and more) and over a large range of temperatures was demonstrated. Approaches for the tailoring of the magnetoresistive properties of these materials and nanostructures for high magnetic field sensor applications were discussed and future perspectives were outlined.