With the continuous advancements of urbanization, the demand for power cables is increasing to replace overhead lines for energy transmission and distribution. Due to undesirable scenarios, e.g., the short circuit or poor contact, the cables can cause fire. The cable sheath has a significant effect on fire expansion. Thus, it is of great significance to carry out research on flame-retardant modification for cable sheath material to prevent fire accidents. With the continuous environmental concern, polyolefin (PO) is expected to gradually replace polyvinyl chloride (PVC) for cable sheath material. Moreover, the halogen-free flame retardants (FRs), which are the focus of this paper, will replace the ones with halogen gradually. The halogen-free FRs used in PO cable sheath material can be divided into inorganic flame retardant, organic flame retardant, and intumescent flame retardant (IFR). However, most FRs will cause severe damage to the mechanical properties of the PO cable sheath material, mainly reflected in the elongation at break and tensile strength. Therefore, the cooperative modification of PO materials for flame retardancy and mechanical properties has become a research hotspot. For this review, about 240 works from the literature related to FRs used in PO materials were investigated. It is shown that the simultaneous improvement for flame retardancy and mechanical properties mainly focuses on surface treatment technology, nanotechnology, and the cooperative effect of multiple FRs. The principle is mainly to improve the compatibility of FRs with PO polymers and/or increase the efficiency of FRs.