With rapid improvements in high-performance computational resources, the horizontal resolution of models has gradually been refined. Convection-Permitting (≤4 km) Models (CPMs) have become one of the main directions in the development and application of regional climate models. This study reviewed four CPM methods, the added value of CPMs compared to regional climate models with traditional resolution, and future climate projections based on a comprehensive literature review. CPMs can explicitly represent deep convection processes without using convective parameterization schemes, which significantly improves their ability to represent complex topographies and surface forcing. CPMs have added value in simulating the characteristics of precipitation (precipitation diurnal cycle, duration, precipitation intensity at sub-daily scale, and intensity of extreme precipitation with short duration), snow (snow depth and coverage), mesoscale convective systems (number and duration), tropical cyclones (intensity and track), urban heat island patterns, and the effects of urbanization on precipitation. Several challenges and uncertainties remain in CPMs, but in the future, higher-resolution datasets, improved cloud microphysical processes, boundary layer parameterization schemes, and higher-performance computational resources can be used to further improve the ability of convection, permitting regional climate simulation and application.