Moxibustion is a traditional medical treatment originating in China. It involves using the heat of burning moxa to stimulate acupoints. It is considered safe and effective and is widely used throughout the world. The increasing use of moxibustion has drawn attention to the procedure's adverse events (AEs). This review covers a total of 64 cases of AEs associated with moxibustion in 24 articles, reported in six countries. Some evidence of the risks of moxibustion has been found in these cases. AEs include allergies, burns, infection, coughing, nausea, vomiting, fetal distress, premature birth, basal cell carcinoma (BCC), ectropion, hyperpigmentation, and even death. The position, duration, distance between moxa and skin, proficiency of the practitioners, conditions of the patients, presence of smoke, and even the environment of treatment can affect the safety of moxibustion. Improving practitioner skill and regulating operations may reduce the incidence of adverse reactions and improve the security of moxibustion.