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The sensation of movement and position of the limbs is critical for normal behaviours in tetrapods. In the bony fishes it is unclear what proprioceptive feedback is provided from the paired fins, the piscine homologues of the tetrapod limbs. Here we test mechanosensory abilities of afferent nerves in the pectoral fin rays, limb structures used by many fish species in propulsion and manoeuvreing. We examine the bluegill sunfish, a fish that uses its pectoral fins extensively in locomotion. We find that the activity of fin ray nerve fibres reflects the amplitude and velocity of fin ray bending. Spike sorting analyses demonstrate the presence of both slowly and rapidly adapting afferent nerve fibres. The fin sensory abilities we describe substantially expand the diversity of known vertebrate proprioceptive capabilities, and suggest that the pectoral fins need to be considered as possible proprioceptive sensors in studies of their functional morphology, movement and evolution.