Single-molecule tracking (SMT) imaging technology has become a crucial tool in modern biophysics and cell biology, achieving significant advancements in recent years. By monitoring the dynamic behavior of individual molecules in real time, this technique reveals microscopic processes and transient events that are often obscured by traditional ensemble-averaged methods. This paper provides a comprehensive review of the latest research developments in the field of SMT imaging, with a particular focus on three-dimensional (3D) tracking methods based on closed-loop feedback mechanisms. These methods are primarily categorized into structured signal detection and structured excitation scanning, including techniques such as tetrahedral detection, split detection, tetrahedral excitation, orbital scanning, 3D dynamic photon localization, extremum search localization, minimum cross-entropy localization, and asynchronous readout SPAD arrays. The paper also briefly introduces image acquisition-based closed-loop feedback 3D tracking schemes. We systematically compare and analyze various methods in terms of spatial resolution, temporal resolution, tracking range, system stability, and implementation complexity, aiming to provide guidance for technology selection under different application scenarios. Furthermore, the paper explores integration strategies between 3D tracking and environmental background imaging, as well as multimodal fusion approaches combining optical parameters such as fluorescence lifetime, fluorescence spectrum, and polarization to achieve complementary information for in-depth analysis of complex biological events. Finally, the paper discusses future development directions, including multi-target parallel tracking, deep-tissue imaging, AI-assisted closed-loop control, system miniaturization and integration, and photobleaching suppression. The potential applications of these technologies in cancer biology, neuroscience, virology, and other biomedical fields are also explored. This review aims to provide a systematic reference and theoretical foundation for the continued development and practical deployment of single-molecule tracking technologies.