Lubrication for extreme conditions, such as high temperature, cryogenic temperature, vacuum pressure, high load, high speed, and corrosive environments, is a continuing challenge among tribologists and space engineers due to the inadequate friction and wear properties of liquid lubricants. As a result, tremendous research effort has been put forward to study lubrication mechanisms for various machine elements under challenging conditions over the past two decades. Self-lubricating materials have been most widely used for adequate lubrication in extreme conditions in recent years. This review paper presents state-of-the-art of materials for lubrication in extreme condition applications in aerospace, automotive, and power generation areas. More specifically, solid lubricants dispersed in various matrices for lubrication application were analyzed in-depth under challenging conditions. This study also reports the self-lubricating materials and their lubrication mechanisms. Finally, various applications and challenges of self-lubricating materials were explored.