Due to its short growth cycle, strong renewability and excellent material properties, bamboo is considered a vital bio-resource for substituting wood, petroleum-based plastics, and even steel. The macroscopic properties of bamboo depend on the synergistic effects of its multi-scale structure and components, therefore, systematically analyzing these structural features is a prerequisite for its value-added utilization. This paper systematically reviews the latest progress in bamboo structure and application research over the past more than a decade. It focuses on the main characteristics of the bamboo cell wall layer structure, pore structure, and the molecular structure of cell wall components, as well as the interactions between these components. The relationship between the structure and properties of different bamboo tissue structures is summarized, and a new multi-scale structural model for the cell walls of bamboo fibers and parenchyma cells is proposed. Meanwhile, the research progress from the utilization of whole bamboo culms to the precise utilization of bamboo fibers and parenchyma cells is systematically evaluated. Finally, addressing the current limitations in research, the paper outlines future development directions in deciphering the interactions of bamboo cell wall components and the functional applications of bamboo fibers and parenchyma cells.