To promote technological innovation in ultrafast spectroscopy, broaden its interdisciplinary applications and address the associated research challenges, this paper provides a systematic review of the current development status in ultrafast spectroscopic techniques. The fundamental definition of ultrafast spectroscopy is illustrated. The principles of key techniques including ultrafast pulse sources, pump-probe spectroscopy, two-dimensional coherent spectroscopy, and near-filed optics are 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 are discussed in detail. The emerging opportunities and future challenges in the development of ultrafast spectroscopy are also summarized.