The surface energy balance closure has been one of the major difficulties in the study of surface exchange processes in the last 20 years. Findings from experiments and modeling in recent years have given a much clear understanding of the substantial causes and solving strategies of this issue. Some inabilities of the eddy covariance system in measuring turbulent fluxes, especially in the underestimation of the contribution from larger eddies in difficult conditions such as inhomogeneous surface and complex terrain, are still the essence. After a brief review of recent progress, as a case study, data from two stations of the comprehensive observation in the Heihe River basin (Project WATER) have been analyzed. One of the unique results for station Arou (on highland pasture), for observations from 1~6, August 2008, showed that the surface energy balance could be closed almost perfectly. Surely this is only one case. Major efforts still need to be made for a better understanding of the contribution of turbulence organized structures (TOS), and for a better way to obtain an area averaged fluxes.