With increasing power electronics integrated into the power grids, the new types of oscillation issues have posed a critical threat to the secure operation of power grids. Apart from the conventional eigenvalue-based analysis, the impedance-based analysis becomes more attractive for the assessment of the oscillatory stability. This paper presents a systematic survey on the technical matters of the emerging impedance-based oscillatory stability analysis of power systems with high power electronics penetration. Firstly, the detailed derivation of impedance models of the power electronic converter-connected equipment are discussed. Then, common coordinate systems for the derivation of impedance models, as well as the characteristics of the impedance model in different coordinate systems are surveyed. On this basis, the aggregation of the individual impedance models is introduced to derive the lumped impedance model. Additionally, two typical impedance-based oscillatory stability criteria are demonstrated and discussed in details. Finally, the advantages as well as the limitations of the impedance-based oscillatory stability analysis, and the contributions as well as the challenges of the existing studies are summarized. A list of relevant literature is accommodated in the end.