Inorganic photochromic materials, as emerging photoresponsive materials, have attracted unparalleled interest because of their potential applications in various photoactive devices such as smart windows, optical memories, and photochromic decorations. Over the past decades, great research efforts have been focused on further development of high‐performance photochromic materials, revealing the underlying physical mechanism as well as exploring new advanced applications. However, significant challenges still exist in achieving large photochromic contrast, realizing color‐tunable response, and confirming the detailed photochromic processes. In this review, the latest progress of inorganic photochromic materials is summarized from the aspects of the advance of new materials, the mechanism of photochromism, the techniques for evaluating and revealing photochromism, and the methods for regulating photochromic behavior. The emerging applications of photochromic materials for optical information storage, photocatalysis, optical anti‐counterfeiting, radiation dosimetry and so on are also discussed. The perspectives and challenges of photochromic materials in terms of practical applications are presented. This review aims to provide fundamentals about the mechanism, properties and applications of inorganic photochromic materials and promote the application of photochromic materials in various optical devices.