Connective tissue attaches to bone across an insertion with spatial gradients in components, microstructure, and biomechanics. Due to regional stress concentrations between two mechanically dissimilar materials, the insertion is vulnerable to mechanical damage during joint movements and difficult to repair completely, which remains a significant clinical challenge. Despite interface stress concentrations, the native insertion physiologically functions as the effective load-transfer device between soft tissue and bone. This review summarizes tendon, ligament, and meniscus insertions cross-sectionally, which is novel in this field. Herein, the similarities and differences between the three kinds of insertions in terms of components, microstructure, and biomechanics are compared in great detail. This review begins with describing the basic components existing in the four zones (original soft tissue, uncalcified fibrocartilage, calcified fibrocartilage, and bone) of each kind of insertion, respectively. It then discusses the microstructure constructed from collagen, glycosaminoglycans (GAGs), minerals and others, which provides key support for the biomechanical properties and affects its physiological functions. Finally, the review continues by describing variations in mechanical properties at the millimeter, micrometer, and nanometer scale, which minimize stress concentrations and control stretch at the insertion. In summary, investigating the contrasts between the three has enlightening significance for future directions of repair strategies of insertion diseases and for bioinspired approaches to effective soft−hard interfaces and other tough and robust materials in medicine and engineering.