Natural disasters and cyber intrusions threaten the normal operation of the critical Multi‐Energy Systems (MESs) infrastructures. There is still no universally‐accepted definition of MESs resilience under the integration of cyber and physical, and lack of a widely accepted methodology to quantify and assess the resilience in MESs. Hence, this paper introduces an extensive review of the state‐of‐the‐art research of power systems’ resilience. Then, this work proposes the definition of the Multi‐Energy Cyber‐Physical Systems (MECPSs) resilience and its related characteristics. To improve the resilience of MECPSs, this paper investigates extreme natural disaster models and analyses the vulnerability of the system to find the key constraint factors. Furthermore, this work presents the qualitative assessment curve, quantitative indexes, and assessment framework of the MECPSs resilience. Finally, the key improvement measures for the planning and operation of MECPSs resilience and the focus of future research are presented.