Mathematical models of biological systems need to both reflect and manage the inherent complexities of biological phenomena. Through their versatility and ability to capture behavior at multiple scales, multi-scale models offer a valuable approach. Due to the typically nonlinear and stochastic nature of multi-scale models as well as unknown parameter values, various types of uncertainty are present; thus, effective assessment and quantification of such uncertainty through sensitivity analysis is important. In this review, we discuss global sensitivity analysis in the context of multi-scale and multi-compartment models and highlight its value in model development and analysis. We present an overview of sensitivity analysis methods, approaches for extending such methods to a multi-scale setting, and examples of how sensitivity analysis can inform model reduction. Through schematics and references to past work, we aim to emphasize the advantages and usefulness of such techniques.