Efficient techniques to navigate networks with local information are fundamental to sample large-scale online social systems and to retrieve resources in peer-to-peer systems. Biased random walks, i.e. walks whose motion is biased on properties of neighbouring nodes, have been largely exploited to design smart local strategies to explore a network, for instance by constructing maximally mixing trajectories or by allowing an almost uniform sampling of the nodes. Here we introduce and study biased random walks on multiplex networks, graphs where the nodes are related through different types of links organised in distinct and interacting layers, and we provide analytical solutions for their long-time properties, including the stationary occupation probability distribution and the entropy rate. We focus on degree-biased random walks and distinguish between two classes of walks, namely those whose transition probability depends on a number of parameters which is extensive in the number of layers, and those whose motion depends on intrinsically multiplex properties of the neighbouring nodes. We analyse the effect of the structure of the multiplex network on the steady-state behaviour of the walkers, and we find that heterogeneous degree distributions as well as the presence of inter-layer degree correlations and edge overlap determine the extent to which a multiplex can be efficiently explored by a biased walk. Finally we show that, in real-world multiplex transportation networks, the trade-off between efficient navigation and resilience to link failure has resulted into systems whose diffusion properties are qualitatively different from those of appropriately randomised multiplex graphs. This fact suggests that multiplexity is an important ingredient to include in the modelling of real-world systems.