Majorana zero modes, which behave like Majorana fermions, are quasiparticle excitations in condensed matter systems. They obey non-Abelian statistics, and have been proposed as building blocks of topological quantum computers. They are predicted to exist in the vortex of topological superconductors. In 2012, such a topological superconductor was engineered by depositing topological insulator thin films on top of an s-wave superconductor. Thereafter, several evidences have been reported to prove the Majorana zero modes' existence in the vortex. In this review, by putting all experimental and theoretical results together, we show that these experimental evidences are consistent and they are also strongly supported by the theories, so the existence of Majorana zero mode is firmly established. Moreover, the adjacent Majorana zero modes annihilate when two vortices are close enough, which demonstrate that they have the nature of Majorana fermions. Finally, their potential application in topological quantum computing is discussed.