Liquid metal (LM) with high electrical conductivity, thermal conductivity, excellent biocompatibility, and extraordinary fluidity has emerged as a promising class of functional materials. However, such materials still encounter many practical challenges due to the rather limited forms available so far. As a promising remedy, LM composites in synergy with other materials would open tremendous opportunities for fundamental research or practical applications. This is because controllable integration of base LM with functional materials (e.g., metal nanoparticles, polymers, and drug molecules) would significantly tune the intrinsic properties of LM as desired, enabling it to offer further major potential in tackling various sectors' challenging issues, including thermal management, biomedicine, chemical catalysis, flexible electronics, and soft robots. Here, we systematically summarize and review the fundamental progress in pursuing LM composites. The basic composite strategies are outlined in three categories: LM composites with core-shell structure, LM-polymer composites, and LM-particle composites. The effectiveness of the composite strategy is illustrated via the typical applications of LM composites in representative fields. The challenges and perspectives in developing LM composites are also identified and interpreted to better guide future research. It is expected that the coming LM era will witness a new world of fruitful composites thereby discovered or invented.