The MAX phases exhibit outstanding combination of strength and ductility which are unique features of both metals and ceramics. The preparation of pure MAX phases has been challenging due to the thermodynamic auspiciousness of intermetallic formation in the ternary systems. This review demonstrates the power of the self-propagating, high-temperature synthesis method, delivers the main findings of the combustion synthesis optimization of the MAX phases, and reveals the influence of the combustion wave on the microstructure features thereof. The possibility of using elements and binary compounds as precursors, oxidizers, and diluents to control the exothermicity was comparatively analyzed from the point of view of the final composition and microstructure in the following systems: Ti-Al-C, Ti-V-Al-C, Cr-V-Al-C, Ti-Cr-Al-C, Ti-Nb-Al-C, Ti-Al-Si-C, Ti-Al-Sn-C, Ti-Al-N, Ti-Al-C-N, Ti-Al-B, Ti-Si-B, Ti-Si-C, Nb-Al-C, Cr-Al-C, Cr-Mn-Al-C, V-Al-C, Cr-V-Al-C, Ta-Al-C, Zr-S-C, Cr-Ga-C, Zr-Al-C, and Mo-Al-C, respectively. The influence of sample preparation (including the processes of preheating, mechanical activation, and microwave heating, sample geometry, porosity, and cold pressing) accompanied with the heating and cooling rates and the ambient gas pressure on the combustion parameters was deduced. The combustion preparation of the MAX phases was then summarized in chronological order. Further improvements of the synthesis conditions, along with recommendations for the products quality and microstructure control were given. The comparison of the mechanical properties of the MAX phases prepared by different approaches was illustrated wherever relevant.