Compressed ultrafast photography (CUP) is a burgeoning single-shot computational imaging technique that provides an imaging speed as high as 10 trillion frames per second and a sequence depth of up to a few hundred frames. This technique synergizes compressed sensing and the streak camera technique to capture nonrepeatable ultrafast transient events with a single shot. With recent unprecedented technical developments and extensions of this methodology, it has been widely used in ultrafast optical imaging and metrology, ultrafast electron diffraction and microscopy, and information security protection. We review the basic principles of CUP, its recent advances in data acquisition and image reconstruction, its fusions with other modalities, and its unique applications in multiple research fields.