Commercial prosthetic devices currently do not provide natural sensory information on the interaction with objects or movements. The subsequent disadvantages include unphysiological walking with a prosthetic leg and difficulty in controlling the force exerted with a prosthetic hand, thus creating health issues. Restoring natural sensory feedback from the prosthesis to amputees is an unmet clinical need. An optimal device should be able to elicit natural sensations of touch or proprioception, by delivering the complex signals to the nervous system that would be produced by skin, muscles and joints receptors. This Review covers the various neurotechnological approaches that have been proposed for the development of the optimal sensory feedback restoration device for arm and leg amputees.