Physical compliance has been increasingly used in robotic legs, due to its advantages in terms of the mechanical regulation of leg mechanics and energetics and the passive response to abrupt external disturbances during locomotion. This article presents a review of the exploitation of physical compliance in robotic legs. Particular attention has been paid to the segmented, electrically actuated robotic legs, such that a comparable analysis can be provided. The utilization of physical compliance is divided into three main categories, depending on the setting locations and configurations, namely, (1) joint series compliance, (2) joint parallel compliance, and (3) leg distal compliance. With an overview of the representative work related to each category, the corresponding working principles and implementation processes of various physical compliances are explained. After that, we analyze in detail some of the structural characteristics and performance influences of the existing designs, including the realization method, compliance profile, damping design, and quantitative changes in terms of mechanics and energetics. In parallel, the design challenges and possible future works associated with physical compliance in robotic legs are also identified and proposed. This article is expected to provide useful paradigmatic implementations and design guidance for physical compliance for researchers in the construction of novel physically compliant robotic legs.