Multilegged robots have the potential to serve as assistants for humans, replacing them in performing dangerous, dull, or unclean tasks. However, they are still far from being sufficiently versatile and robust for many applications. This paper addresses key points that might yield breakthroughs for highly dynamic multilegged robots with the abilities of running (or jumping and hopping) and self-balancing. First, 21 typical multilegged robots from the last five years are surveyed, and the most impressive performances of these robots are presented. Second, current developments regarding key technologies of highly dynamic multilegged robots are reviewed in detail. The latest leg mechanisms with serial-parallel hybrid topologies and rigid–flexible coupling configurations are analyzed. Then, the development trends of three typical actuators, namely hydraulic, quasi-direct drive, and serial elastic actuators, are discussed. After that, the sensors and modeling methods used for perception are surveyed. Furthermore, this paper pays special attention to the review of control approaches since control is a great challenge for highly dynamic multilegged robots. Four dynamics-based control methods and two model-free control methods are described in detail. Third, key open topics of future research concerning the mechanism, actuation, perception, and control of highly dynamic multilegged robots are proposed. This paper reviews the state of the art development for multilegged robots, and discusses the future trend of multilegged robots.