Multilevel proteomics aims to delineate proteins at the peptide (bottom‐up proteomics), proteoform (top‐down proteomics), and protein complex (native proteomics) levels. Capillary electrophoresis‐mass spectrometry (CE‐MS) can achieve highly efficient separation and highly sensitive detection of complex mixtures of peptides, proteoforms, and even protein complexes because of its substantial technical progress. CE‐MS has become a valuable alternative to the routinely used liquid chromatography‐mass spectrometry for multilevel proteomics. This review summarizes the most recent (2019–2021) advances of CE‐MS for multilevel proteomics regarding technological progress and biological applications. We also provide brief perspectives on CE‐MS for multilevel proteomics at the end, highlighting some future directions and potential challenges.