Anharmonic lattice vibrations play pivotal roles in the thermal dynamics in condense matters and affect how the atoms interact and conduct heat. An in-depth understanding of the microscopic mechanism of phonon anharmonicity in condensed systems is critical for developing better functional and energy materials. In recent years, various novel behaviors in condense matters driven by phonon anharmonic effects were discovered, such as soft mode phase transition, negative thermal expansion (NTE), multiferroicity, ultralow thermal conductivity (κ), high thermal resistance, and high-temperature superconductivity. These properties have endowed anharmonicity with many promising applications and provided remarkable opportunities for developing "Anharmonicity Engineering"-regulating heat transport towards excellent performance in materials. In this work, we review the recent development of studies on phonon anharmonic effect and summarize its origin, mechanism, research methods, and applications. Besides, the remaining challenges, future trends, and prospects of phonon anharmonicity are also discussed.