Proteoglycans are ubiquitous biomolecules in the body located in the extracellular matrix, on the cell surface and also within the cells. They contain at least one glycosaminoglycan (GAG) chain covalently attached to a core protein and may also present N- or O-linked glycans. The high structural diversity and distribution relate to the various biological functions of proteoglycans. In recent years, new members have enlarged the proteoglycan family and advances in molecular biology and glycobiology contributed to elucidate more of the biological functions of proteoglycans. In order to study the structure of a proteoglycan molecule and relate it to its function (or dysfunction), its isolation and purification from cell culture or tissue extracts is necessary. Next to the widely used anion exchange chromatographic methods, techniques based on lectin affinity chromatography have created new possibilities to increase the degree of purity. Introduction of electrospray ionization (ESI) and matrix-assisted laser desorption-ionization (MALDI) sources, together with tandem mass spectrometry (MS/MS or MSn), mark a further important step towards the structural analysis of glycosaminoglycans. The aim of this review is to present the most recent advances in proteoglycan purification and analysis.