The problem of high-power laser beams propagating through the atmosphere will be encountered in applications, such as the ground-based laser space-debris cleaning, and transportation of the laser radiation produced by solar power from space orbits to the ground. In such applications, the laser power is well above the critical power for self-focusing in air. Therefore, it is important to study the self-focusing effect of high-power laser beams propagating through the inhomogeneous atmosphere. This paper reviews the research progress on self-focusing effect of high-power laser beams propagating upwards or downwards in the inhomogeneous atmosphere. The laser beam propagation model, the theoretical model, and the numerical and analytical methods are introduced. The influence of the self-focusing on the beam propagation characteristics and the beam quality is introduced, and the methods of optimizing the beam quality on the target are summarized. Furthermore, the effects of group-velocity dispersion and atmospheric turbulence on the beam quality are also introduced. Finally, some interesting questions for further research are put forward.