Capillary electrophoresis (CE) is a competitive analytical technique to widely used liquid chromatography. It is characterized by low consumption of reagents and organic solvents, as well as relatively short analysis time, which translates into low operating costs and environmental friendliness. Unfortunately, compared to liquid chromatography, the achieved concentration limits of detection (LOD) are significantly higher when using spectrophotometric detection. However, the development of on-line preconcentration techniques has overcome this issue for compounds with hydrophilic characteristics. Nonetheless, for hydrophobic compounds, despite the dynamically evolving separation modes and new pseudostationary phases, there is still a need for new signal enhancement methods. Toxic or pharmacologically active substances present in biological and environmental samples at ultra-trace levels often include hydrophobic compounds, occurring at nanomolar or even picomolar concentrations. Therefore, it is justified to seek new solutions to lower the limits of detection, which will expand knowledge in the field of electromigration techniques for the analysis of hydrophobic compounds. This review summarizes the current achievements in the analysis of hydrophobic compounds using on-line preconcentration techniques in combination with capillary electrokinetic chromatography (CEKC), where separation buffer acts as a pseudostationary phase with which analytes interact.