Danube loess, located at the westernmost part of the widespread Eurasian loess belt, is one of the most well-preserved aeolian dust deposits in Europe with the basal age dating back over 1 Ma. Owing to its unique location and formation processes, Danube loess plays an important role in understanding the linkage of climate changes in different climate regimes over Eurasian continent and paleoclimatic changes in middle-high northern latitudes. Major research advances of the Danube loess, including compositions, provenance, chronology, stratigraphy and paleoenvironment changes were systematically reviewed and the focuses of future research were suggested. To better understand loess provenance, the compositions of sediments in all the potential source areas should be investigated, and methodological study of provenance indicators and application of multi-proxies approaches need to be carried out. Chronologically and stratigraphically, feldspar luminescence dating and tephrochronology methods should be widely used, and the establishment of a uniform stratigraphic framework and correlation scheme should be constrained by precise chronology. In terms of the paleoenvironment, it is necessary to conduct high-resolution multi-proxies reconstruction of paleoenviroment for the entire loess-paleosol sequence, extending from the last interglacial period (130 ka to present) to interval of last 1 Ma. The future progress in Danube loess is crucial to improving the study of continental paleoclimate comparison and paleoclimate dynamics over the Eurasian loess region.