The rapid development of electronics, energy and propulsion systems has led us to the point where their performances are limited by cooling capacities. Heat fluxes of 10~100, even over 1,000 W/cm2 need to be dissipated with minimum coolant flow rate in next-generation power electronics. Spray cooling is a high heat flux, uniform and efficient cooling technique proven effective in various applications. However, its cooling capacity and efficiency need to be further improved to meet next-generation ultrahigh-power applications. Engineering of surface properties and structures can fundamentally affect the liquid-wall interactions, thus becoming the most promising way to enhance spray cooling. However, the unclear mechanisms of surface-enhanced spray cooling cause lack of guiding principles for surface design. Here, progress in spray cooling on surfaces with structures of different scales are reviewed and their performances evaluated and compared. Spray cooling can achieve critical heat flux (CHF) above 945 W/cm2 and heat transfer coefficient (HTC) up to 57 W/cm2K on structured surfaces for pressurized nozzle and CHF and HTC up to 1250 W/cm2 and 250 W/cm2K, respectively, on a smooth surface with the assistance of secondary gas flow. CHF enhancement of 110% was achieved on hybrid micro- and nanostructured surfaces. A clear map of enhancement mechanisms is proposed after analysis. Some future concerns are also proposed. This work helps the understanding and design of engineered surfaces in spray cooling and provides insights for interdisciplinary applications of heat transfer and advanced engineering materials.