Owing to its potential application prospect in novel accident tolerant fuel, molybdenum alloys and their welding technologies have gained great importance in recent years. The challenges of welding molybdenum alloys come from two aspects: one is related to its powder metallurgy manufacturing process, and the other is its inherent characteristics of refractory metal. The welding of powder metallurgy materials has been associated with issues such as porosity, contamination, and inclusions, at levels which tend to degrade the service performances of a welded joint. Refractory metals usually present poor weldability due to embrittlement of the fusion zone as a result of impurities segregation and the grain coarsening in the heat-affected zone. A critical review of the current state of the art of welding Mo alloys components is presented. The advantages and disadvantages of the various methods, i.e., electron-beam welding (EBW), tungsten-arc inert gas (TIG) welding, laser welding (LW), electric resistance welding (ERW), and brazing and friction welding (FW) in joining Mo and Mo alloys, are discussed with a view to imagine future directions. This review suggests that more attention should be paid to high energy density laser welding and the mechanism and technology of welding Mo alloys under hyperbaric environment.