With rapid advancement and deep integration of artificial intelligence and the internet-of-things, artificial intelligence of things has emerged as a promising technology changing people’s daily life. Massive growth of data generated from the devices challenges the AIoT systems from information collection, storage, processing and communication. In the review, we introduce volatile threshold switching memristors, which can be roughly classified into three types: metallic conductive filament-based TS devices, amorphous chalcogenide-based ovonic threshold switching devices, and metal-insulator transition based TS devices. They play important roles in high-density storage, energy efficient computing and hardware security for AIoT systems. Firstly, a brief introduction is exhibited to describe the categories (materials and characteristics) of volatile TS devices. And then, switching mechanisms of the three types of TS devices are discussed and systematically summarized. After that, attention is focused on the applications in 3D cross-point memory technology with high storage-density, efficient neuromorphic computing, hardware security (true random number generators and physical unclonable functions), and others (steep subthreshold slope transistor, logic devices,etc.). Finally, the major challenges and future outlook of volatile threshold switching memristors are presented.