As a basic symmetry of space-time, Lorentz symmetry has played important roles in various fields of physics, and it is a glamorous question whether Lorentz symmetry breaks. Since Einstein proposed special relativity, Lorentz symmetry has withstood very strict tests, but there are still motivations for Lorentz symmetry violation (LV) research from both theoretical consideration and experimental feasibility, that attract physicists to work on LV theories, phenomena and experimental tests with enthusiasm. There are many theoretical models including LV effects, and different theoretical models predict different LV phenomena, from which we can verify or constrain LV effects. Here, we introduce three types of LV theories: quantum gravity theory, space-time structure theory and effective field theory with extra-terms. Limited by the energy of particles, the experimental tests of LV are very difficult; however, due to the high energy and long propagation distance, high-energy particles from astronomical sources can be used for LV phenomenological researches. Especially with cosmic photons, various astronomical observations provide rich data from which one can obtain various constraints for LV researches. Here, we review four common astronomical phenomena which are ideal for LV studies, together with current constraints on LV effects of photons.