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Dispersive shock waves are fascinating phenomena occurring when nonlinearity overwhelms linear effects, such as dispersion and diffraction. Many features of shock waves are still under investigation, as the interplay with noninstantaneity in temporal pulses transmission and nonlocality in spatial beams propagation. Despite the rich and vast literature on nonlinear waves in optical Kerr media, spatial dispersive shock waves in nonlocal materials deserve further attention for their unconventional properties. Indeed, they have been investigated in colloidal matter, chemical physics and biophotonics, for sensing and control of extreme phenomena. Here we review the last developed theoretical models and recent optical experiments on spatial dispersive shock waves in nonlocal media. Moreover, we discuss observations in novel versatile materials relevant for soft matter and biology.