Large-scale solar photovoltaic (PV) power plants tend to be set in desert areas, which enjoy high irradiation and large spaces. However, due to frequent sandstorms, large amounts of contaminants and dirt are suspended in the air and deposited on photovoltaic modules, which greatly decreases the power efficiency and service life. To clean PV to improve efficiency, many methods were proposed. It was found that the application of the self-cleaning coating on PV modules can effectively reduce dust deposition and improve the efficiency of PV. This paper reviews the dust deposition mechanism on photovoltaic modules, classifies the very recent dust removal methods with a critical review, especially focusing on the mechanisms of super-hydrophobic and super-hydrophilic coatings, to serve as a reference for researchers and PV designers, and presents the current state of knowledge of the aspects mentioned above to promote sustainable improvement in PV efficiency. It was found that the behaviors of dust on photovoltaic modules are mainly deposition, rebound, and resuspension. Particles with a diameter of 1–100 μm are most easily deposited on photovoltaic modules. The use of self-cleaning coatings, especially super-hydrophobic coatings, is beneficial to the rebound and resuspension of particles. The research gaps and development prospects of self-cleaning coatings are also discussed in this paper.