Detecting and interpreting extracellular spatial signals is essential for cellular orientation within complex environments, such as during directed cell migration or growth in multicellular development. Although the molecular understanding of how cells read spatial signals like chemical gradients is still lacking, recent work has revealed that stochastic processes at different temporal and spatial scales are at the core of this gradient sensing process in a wide range of eukaryotes. Fast biochemical reactions like those underlying GTPase activity dynamics form a functional (...) module together with slower cell morphological changes driven by membrane remodelling. This biochemical‐morphological module explores the environment by stochastic local concentration sampling to determine the source of the gradient signal, enabling efficient signal detection and interpretation before polarised growth or migration towards the gradient source is initiated. Here we review recent data describing local sampling and propose a model of local fast and slow feedback counteracted by gradient‐dependent substrate limitation to be at the core of gradient sensing by local sampling. (shrink)