Abstract: In this study, an embedded cement-based piezoelectric sensor based on a spherical piezoelectric ceramic shell was designed, fabricated, and characterized. Compared with the conventional piezoelectric acoustic emission sensor (PAES), which is based on sheet piezoelectric ceramics and can receive signals only in a specific direction, the novel embedded cement-based spherical piezoelectric sensor (CSPS) has the potential for omnidirectional signal reception. The frequency response range of the embedded CSPS, tested using the pencil-lead break test, is 70–600 kHz, which can meet the requirements of acoustic emission testing of concrete structures. Thus, the four-point bending test of the concrete beam was monitored using the acoustic emission technique. The concrete beams with two failure modes, bending and compression–shear failure, were created. During the four-point bending test, the CSPS embedded into the concrete beams and the commercial PAES externally placed on the surface of the concrete structure were used for acoustic emission monitoring. Data such as acoustic emission amplitude, b-value, and fractal dimension were measured using the embedded CSPS and analyzed and compared using the external commercial PAES. The results showed that the data measured using the embedded CSPS are highly consistent with those measured using the external PAES. Notably, at the late stage of the experiment, the number of low amplitude signals measured using the embedded CSPS was several times higher than that measured using the external PAES, which demonstrates that the sensitivity of the embedded CSPS is better than that of the external commercial PAES. Furthermore, the curve of the b-value and fractal dimension of the two kinds of sensors (the embedded CSPS and the external PAES) showed evident phased characteristics in different loading stages. In the bending failure test of the concrete beam, the trend of the curve of the fractal dimension can be divided into three stages, which correspond to the three stages of bending failure. Moreover, when the b-value keeps decreasing and becomes stable at a low level, it indicates that the concrete beam has entered the final yield failure stage. Furthermore, the transformation of each failure stage is accompanied by a sudden increase in energy. In the compression–shear failure test of the concrete beam, the steep drop in the b-value and fractal dimension indicates the development and connection of large fractures. Therefore, these indices dynamically reflect the evolution of structural damage and can be used as an early warning index for the final failure of the concrete beam. Compared with the acoustic emission location results calculated by the commercial PAES, the number of acoustic emission location results calculated using the embedded CSPS was greatly increased, which effectively improved the accuracy and sensitivity of damage location analysis.