The transition of energy from fossil fuels to renewable energy particularly hydrogen is becoming the centre of decarbonization and roadmap to achieve net-zero carbon emission. To meet the requirement of large-scale hydrogen storage as a key part of hydrogen supply chain, underground hydrogen storage can be the ultimate solution to economically store hydrogen thus meet global energy demand. Compared to other types of subsurface storage sites such as salt caverns and aquifers which are limited to geographical locations, depleted gas reservoirs have been raising more interest because of the wider distribution and higher storage capacity. However, safely storing and cycling of hydrogen in depleted gas reservoirs requires caprock, reservoir and wellbore to remain high stability and integrity. Nevertheless, current research on storage integrity during underground hydrogen in depleted gas reservoirs is still scarce and non-systemic. We therefore reviewed the major challenges on storage integrity associated with geochemical reactions, microbial activities, faults and fractures and hydrogen cycling perspectives. The processes and impacts of abiotic and biotic mineral dissolution/precipitation, faults and fracture reactivation and propagation in caprock and host-rock, wellbore instability due to cement degradation and casing corrosion, stress change during hydrogen cycling, etc. on storage integrity were comprehensive reviewed and analysed. Furthermore, a technical screening tool with consideration of controlling variables, risks and consequences on storage integrity was developed to identify the potential risks associated with storage integrity. Lastly, knowledge gaps together with feasible methods and pathways have been identified to mitigate the risks and thus enables large-scale underground hydrogen storage.