Since phenotype-based screening directly evaluates capability of small molecules for modulating biology in actual biological systems, it has become an important discover modality in modern pharmaceutical sciences. However, in order to fully elucidate the molecular mechanism underlying the bioactivity of small molecules, identification of their biological targets is an indispensable step. Among the many target identification strategies developed during the past several decades, affinity purification remains to be one of the most important and powerful approaches, as it can directly reveal the physical interactions between small molecules and their biomolecular targets. However, due to the complexity of the proteome and the diversity of small molecule-protein interactions, affinity purification faces the specificity challenge: how to identify the true specific targets from the non-specific background? Focusing on this challenge, in this review, we briefly introduce the history and background of affinity purification, and then we discussed the major technological developments aiming to address this challenge. We have summarized these approaches in two categories: noise reduction and comparative distinction. This review also highlights the importance of choosing an integrated approach combining multiple methods to achieving success in target identification.