Advanced coatings are essential to modern technologies as they optimise surface characteristics for different application scenarios. Transparent and self-cleaning coatings are increasingly used as protective coatings for various applications, such as foldable touchscreens, windows, and solar panels. Moreover, incorporating other functionalities such as high hardness, wear resistance, and flexibility into transparent and self-cleaning coatings is important for broadening the use cases. Although many kinds of multifunctional coatings have been developed, it is still difficult to embody several properties in one coating adequately as some properties, such as hardness and flexibility, are inherently contrastive. This review first describes basic principles, including wettability, photocatalytic reactions, photo-induced hydrophilic phenomena, and the implication of self-cleaning. The desired properties of multifunctional coatings are then listed and the methods for evaluating different properties are used. Recent progress in various preparation methods for multifunctional coatings, including the sol–gel, dip/spin, and chemical vapour deposition (CVD) methods, are also presented. Magnetron sputtering (MS) technology is widely used in coating preparation. Compared with chemosynthesis and CVD, MS is time-saving, suitable for industrial production, and environmentally friendly. Coatings prepared by MS usually possess excellent mechanical properties. Thus, we highlight the current research status of MS technology in multifunctional coating preparation. Moreover, according to the multilayer design structure of coatings, their optical and mechanical properties and self-cleaning ability can be controlled by combining the characteristics of different materials. Finally, combining photocatalytic materials such as TiO2 with other materials through a multilayer structure to obtain a multifunctional coating with excellent overall properties is discussed.