As an emerging industry, laser processing technology has developed rapidly and has gradually become a key technology in transforming traditional manufacturing. It has been widely used in various fields such as industrial production, communication technology, information processing, health care, military, and scientific research. The application and development of laser processing technology is restricted by thermal damage and the processing residues existing in traditional laser processing. However, water laser compound machining can better solve the above-mentioned problems. In water laser compound machining, heat and byproducts can be absorbed and taken away by water to improve processing quality. This paper expounds and analyzes the principles and research of three popular water laser compound machining methods (water-guided laser processing, underwater laser processing and water-jet-assisted laser processing). Furthermore, this paper analyzes the technical difficulties in water laser compound machining and looks forward to the future development trends of this technology.