The self-locking structure achieves interlocking property through ingenious design of the connection mode between cells, which enables the cells to lock with each other without the need for any additional constraints. The self-locking structure possesses significant advantages, such as light weight, portability, rapid assembly, and disassembly. Therefore, this structure is widely applied in various fields, such as shock resistance and explosion prevention. Self-locking structures exist in many structures in nature. The design concepts of self-locking structures are introduced from three aspects: the inspiration from biomimetic self-locking structures, the energy absorption mechanism of periodic structures, and failure of shear bands in periodic structures. The research progress of two-dimensional unidirectional self-locking structures, three-dimensional multi-directional self-locking structures and curved self-locking structures are then respectively introduced based on the classification of self-locking direction. Among them, the multi-directional self-locking structure withstands more complex loading conditions. Therefore, research progress of three representative multi-directional self-locking structures based on dumbbell-type, bone stitching, and origami design are further introduced. Finally, the research on the self-locking structure is summarized, and its future research prospects are discussed.