The ultrafast laser-matter interaction is explored to induce new pioneering principles and technologies into the realms of fundamental science and industrial production. The local thermal melting and connection properties of the ultrafast laser welding technology offer a novel method for welding of diverse transparent materials, thus having wide range of potential applications in aerospace, opto-mechanical systems, sensors, micro fluidic, optics, etc. In this comprehensive review, tuning the transient electron activation processes, high-rate laser energy deposition, and dynamic evolution of plasma morphology by the temporal/spatial shaping methods have been demonstrated to facilitate the transition from conventional homogeneous transparent material welding to the more intricate realm of transparent/metal heterogeneous material welding. The welding strength and stability are also improvable through the implementation of real-time, in-situ monitoring techniques and the prompt diagnosis of welding defects. The principles of ultrafast laser welding, bottleneck problems in the welding, novel welding methods, advances in welding performance, in-situ monitoring and diagnosis, and various applications are reviewed. Finally, we offer a forward-looking perspective on the fundamental challenges within the field of ultrafast laser welding and identify key areas for future research, underscoring the imperative need for ongoing innovation and exploration.