Quantum Mechanics (QM) is one of the pillars of modern physics: an impressive amount of experiments have confirmed this theory and many technological applications are based on it. Nevertheless, at one century since its development, various aspects concerning its very foundations still remain to be clarified. Among them, the transition from a microscopic probabilistic world into a macroscopic deterministic one and quantum non-locality. A possible way out from these problems would be if QM represents a statistical approximation of an unknown deterministic theory.This review is addressed to present the most recent progresses on the studies related to Hidden Variable Theories (HVT), both from an experimental and a theoretical point of view, giving a larger emphasis to results with a direct experimental application.More in details, the first part of the review is a historical introduction to this problem. The Einstein-Podolsky-Rosen argument and the first discussions about HVT are introduced, describing the fundamental Bell's proposal for a general experimental test of every Local HVT and the first attempts to realise it.The second part of the review is devoted to elucidate the recent progresses toward a conclusive Bell inequalities experiment obtained with entangled photons and other physical systems.Finally, the last sections are targeted to shortly discuss Non-Local HVT.1