High-temperature superconducting coated conductors (CCs) are considered an enabling ultra-high field (UHF) tape-conductor technology due to their extremely high engineering current densities at very high magnetic fields and low temperatures, and high mechanical strength. A major challenge is however related to induction of problematically large superconducting screening currents (as an effect of the large width-to-thickness ratio) when the wide tape conductors are exposed to strong transverse magnetic fields above 20 T, which is the case in many UHF magnet systems. Subdividing the superconducting layer into narrow parallel decoupled filaments has been shown to effectively reduce superconducting screening currents by a factor comparable to the number of filaments. The filamentization is however not effective until the induced coupling currents flowing across the filaments have decayed. The effectiveness of the multifilamentary structure in suppressing coupling currents and reducing the decay time constants is directly linked to potential current paths between filaments. Very recent experimental and numerical studies have examined both the challenge of magnet precision, caused by screening-current-induced fields, and the fatal consequences of local uneven tape stresses exceeding the irreversible limits for commercial CCs. These studies have conclusively revealed that screening currents must not be ignored in the mechanical design and other studies have introduced multifilamentary CCs as a viable solution. This paper aims to review the efforts made in developing and investigating multifilamentary CCs for ultra-high field applications focusing on the screening-current-related mechanisms, critical system-level effects, effectiveness of filamentization in UHFs, fabrication and large-scale analysis of multifilamentary CCs, in addition to providing cost estimates of previously studied filamentized CC fabrication techniques.