Abstract: Based on the current knowledge, a plasma–liquid interface looks and behaves very differently from its counterpart at a solid surface. Local processes characteristic to most liquids include a stronger evaporation, surface deformations, droplet ejection, possibly distinct mechanisms behind secondary electron emission, the formation of an electric double layer, and an ion drift-mediated liquid resistivity. All of them can strongly influence the interfacial charge distribution. Accordingly, the plasma sheath at a liquid surface is most likely unique in its own way, both with respect to its structure and behavior. However, insights into these properties are still rather scarce or uncertain, and more studies are required to further disclose them. In this Perspective, we argue why more research on the plasma sheath is not only recommended but also crucial to an accurate understanding of the plasma–liquid interaction. First, we analyze how the sheath regulates various elementary processes at the plasma–liquid interface, in terms of the electrical coupling, the bidirectional mass transport, and the chemistry between plasma and liquid phase. Next, these three regulatory functions of the sheath are illustrated for concrete applications. Regarding the electrical coupling, a great deal of attention is paid to the penetration of fields into biological systems due to their relevance for plasma medicine, plasma agriculture, and food processing. Furthermore, we illuminate the role of the sheath in nuclear fusion, nanomaterial synthesis, and chemical applications. As such, we hope to motivate the plasma community for more fundamental research on plasma sheaths at liquid surfaces.