Identification of active compounds from natural products is a critical and challenging task in drug discovery pipelines. Besides commonly used bio-guided screening approaches, affinity selection strategy coupled with liquid chromatography or mass spectrometry, known as ligand fishing, has been gaining increasing interest from researchers. In this review, we summarized this emerging strategy and categorized those methods as off-line or on-line mode according to their features. The separation principles of ligand fishing were introduced based on distinct analytical techniques, including biochromatography, capillary electrophoresis, ultrafiltration, equilibrium dialysis, microdialysis, and magnetic beads. The applications of ligand fishing approaches in the discovery of lead compounds were reviewed. Most of ligand fishing methods display specificity, high efficiency, and require less sample pretreatment, which makes them especially suitable for screening active compounds from complex mixtures of natural products. We also summarized the applications of ligand fishing in the modernization of Traditional Chinese Medicine (TCM), and propose some perspectives of this remarkable technique.