Multi-vendor interoperable HVDC grid protection is key to build large-scale HVDC grids in a step-by-step manner. On the one hand, various protection strategies and technologies have been developed in the past decade to address the challenges associated with HVDC grid protection. On the other hand, state-of-the-art HVDC technologies are often vendorspecific and there is a general lack of standardisation on HVDC systems as the majority of existing HVDC systems have been built by single vendors as turn-key projects. In recent years, driven by the need to develop multi-vendor HVDC grids, both national and international standardisation bodies have been working on guidelines and pre-standardisation for HVDC systems. This paper provides a comprehensive review of the recent progress on HVDC grid protection focusing on multi-vendor interoperability and identifies the main challenges to achieve interoperable HVDC grid protection. Compared to AC system protection, the fundamental differences of multi-vendor interoperability in HVDC grid protection are the possible co-existence of multiple protection philosophies and the extended scope of the fault clearing process in terms of protection and control. The challenges and research needs related to multi-vendor HVDC grid protection due to these fundamental differences are identified.