Multiferroic hexagonal rare-earth ferrites (h-RFeO3, R=Sc, Y, and rare earth), in which the improper ferroelectricity and canted antiferromagnetism coexist, have been advocated as promising candidates to pursue the room-temperature multiferroics, because of strong spin-spin interaction. The strong interactions between the ferroic orders and the structural distortions are appealing for high-density, energy-efficient electronic devices. Over the past decade, remarkable advances in atomic-scale synthesis, characterization, and material modeling enable the significant progresses in the understanding and manipulation of ferroic orders and their couplings in h-RFeO3 thin films. These results reveal a physical picture of rich ferroelectric and magnetic phenomena interconnected by a set of structural distortions and spin-lattice couplings, which provides guidance for the control of ferroic orders down to the nano scale and the discovery of novel physical phenomena. This review focus on state-of-the-art studies in complex phenomena related to the ferroelectricity and magnetism as well as the magnetoelectric couplings in multiferroic h-RFeO3, based on mostly the recent experimental efforts, aiming to stimulate fresh ideas in this field.