Ultrafast transmission electron microscope (UTEM) with the multimodality of time-resolved diffraction, imaging, and spectroscopy provides a unique platform to reveal the fundamental features associated with the interaction between free electrons and matter. In this review, we summarize the principles, instrumentation, and recent developments of the UTEM and its applications in capturing dynamic processes and non-equilibrium transient states. The combination of the transmission electron microscope with a femtosecond laser via the pump–probe method guarantees the high spatiotemporal resolution, allowing the investigation of the transient process in real, reciprocal and energy space. Ultrafast structural dynamics can be studied by diffraction and imaging methods, revealing the coherent acoustic phonon generation and photo-induced phase transition process. In the energy dimension, time-resolved electron energy-loss spectroscopy enables the examination of the intrinsic electronic dynamics of materials, while the photon-induced near-field electron microscopy extends the application of the UTEM to the imaging of optical near fields with high real-space resolution. It is noted that light–free-electron interactions have the ability to shape electron wave packets in both longitudinal and transverse directions, showing the potential application in the generation of attosecond electron pulses and vortex electron beam.