To protect the converters and minimize the power transmission interruption during DC line faults, it is necessary to detect the faults at ultra-high-speed for the MMC based HVDC grids. This paper reviews the state-of-the-art of DC fault protection methods of MMC HVDC grids, and summarizes the underlying principles of each method. On this basis, the DC fault characteristics analysis in terms of modal-domain, time-domain and frequency-domain are analyzed, which direct the protection design. Typical boundary protection and non-boundary protection schemes are reviewed. The advantages and disadvantages of existing fault protection methods are compared. A two-terminal MMC-HVDC prototype is developed to test the effectiveness of three fault protection methods. Comprehensive quantitative assessments of the protection methods discussed above are carried out in a four-terminal MMC HVDC grid. Finally, the future trends of the protection schemes are discussed and the findings are concluded.