Water plays an important role in the evolution history of terrestrial planets and is also an indispensable resource for space exploration. The moon was used to be thought as “bone-dry”. However, this view was challenged by the latest achievements. Both the infrared remote sensing data and Apollo sample results have shown that some hydroxyl (and even H₂O) can be produced by the reaction between the solar wind proton and regolith mineral on the Moon. A series of theoretical analysis and simulated ion implantation experiments have been carried out to discuss such processes. Many issues related to the solar wind-produced water have not been well understood yet, e.g., the formation mechanism, influencing factors, occurrence state, migration, and retention. To answer these questions, it is necessary to investigate the formation mechanism and migration of solar wind-produced water based on the Change’e-5 returned samples in the future. These studies can not only can provide clues for the exploitation and utilization of water on the Moon, but also help us to understand the origin and evolution of water on other airless terrestrial planets.