Cholangiocarcinoma (CCA) is the most common malignancy in patients with primary sclerosing cholangitis (PSC), accounting for 2–8% of cases and being the leading cause of death in these patients. The majority of PSC-associated CCAs (PSC-CCA) develop within the first few years after PSC diagnosis. Older age and male sex, as well as concomitant inflammatory bowel disease (IBD) or high-grade biliary stenosis, are some of the most relevant risk factors. A complex combination of molecular mechanisms involving inflammatory pathways, direct cytopathic damage, and epigenetic and genetic alterations are involved in cholangiocytes carcinogenesis. The insidious clinical presentation makes early detection difficult, and the integration of biochemical, radiological, and histological features does not always lead to a definitive diagnosis of PSC-CCA. Surveillance is mandatory, but current guideline strategies failed to improve early detection and consequently a higher patient survival rate. MicroRNAs (miRNAs), gene methylation, proteomic and metabolomic profile, and extracellular vesicle components are some of the novel biomarkers recently applied in PSC-CCA detection with promising results. The integration of these new molecular approaches in PSC diagnosis and monitoring could contribute to new diagnostic and surveillance strategies.