Iron carbides and nitrides have aroused great interest in researchers, due to their excellent magnetic properties, good machinability and the particular catalytic activity. Based on these advantages, iron carbides and nitrides can be applied in various areas such as magnetic materials, biomedical, photo- and electrocatalysis. In contrast to their simple elemental composition, the synthesis of iron carbides and nitrides still has great challenges, particularly at the nanoscale, but it is usually beneficial to improve performance in corresponding applications. In this review, we introduce the investigations about iron carbides and nitrides, concerning their structure, synthesis strategy and various applications from magnetism to the catalysis. Furthermore, the future prospects are also discussed briefly.