Sensation is an active process involving the sampling and central processing of external stimuli selectively in space and time. Olfaction in particular depends strongly on active sensing due to the fact that-at least in mammals-inhalation of air into the nasal cavity is required for odor detection. This seemingly simple first step in odor sensation profoundly shapes nearly all aspects of olfactory system function, from the distribution of odorant receptors to the functional organization of central processing to the perception of odors. The dependence of olfaction on inhalation also allows for profound modulation of olfactory processing by changes in odor sampling strategies in coordination with attentional state and sensory demands. This review discusses the role of active sensing in shaping olfactory system function at multiple levels and draws parallels with other sensory modalities to highlight the importance of an active sensing perspective in understanding how sensory systems work in the behaving animal.