Natural edible blue pigment is a scarce pigment among natural pigments, mainly derived from animal and plant tissues, microbial fermentation metabolites. Among the plant natural blue pigments, the ones that account for the widest market of edible natural blue pigments are algal blue pigment and gardenia blue pigment. The sources of microbial natural blue pigment include some fungi and bacteria in addition to microalgae, mainly focusing on the study of Streptomyces, Pseudomonas, Pseudoalteromonas, purple non-sulfur bacteria, Dourollerella, and sprouting short-stalked mold. The natural blue pigment is unstable, so it is of far-reaching significance to improve the extraction process, especially the research on the isolation and purification of blue pigment produced by microbial fermentation. High-speed frozen centrifugation, solid-phase extraction, high performance liquid chromatography, nuclear magnetic resonance spectroscopy, mass spectrometry and other methods are commonly used for the separation and purification of natural blue pigments and analytical identification. Some natural blue pigments have antioxidant, antitumor, hypolipidemic, hypoglycemic, anti-inflammatory, anti-cancer, immunomodulatory activities, etc. There will be a broad development prospect for the future research of natural blue pigments.