To promote technological innovation in ultrafast spectroscopy and broaden its interdisciplinary applications, this paper provides a systematic review of the current development status and challenges in ultrafast spectroscopic techniques. The fundamental definition of ultrafast spectroscopy was illustrated. The principles of key techniques including ultrafast pulse sources, pump-probe spectroscopy, two-dimensional coherent spectroscopy, and near-filed optics were introduced. By combining research examples such as charge transfer in organic photovoltaics, electron transfer in molecular chemical reactions, exciton fine energy level structure in quantum-confined materials, and lipid molecular photoswitches, the application scopes and unique advantages of various spectroscopic techniques were discussed in detail. The emerging opportunities and future challenges in the development of ultrafast spectroscopy were also summarized.