Refractory metals and their alloys have high melting points, excellent high-temperature strength, and good thermal stability and are irreplaceable in aerospace, weapons and equipment, the nuclear industry, and high-temperature measurement. However, the oxidation resistance of refractory metals is poor, which easily leads to oxidation failure in a high-temperature environment. The preparation of antioxidation coatings and matrix alloying on the surface of refractory metals are effective ways to improve the oxidation resistance of refractory metals and their alloys. In combination with the systematic research of domestic and foreign scholars on the material composition, element ratio, and preparation methods, the microstructural change, oxidation behavior, and failure mechanism of refractory metals in high-temperature environments were expounded. The antioxidant effects and mechanisms of Si, Cr, B, W, Ti and Al in coating protection were analysed. In addition, the effects of different coating preparation methods on the antioxidant energy were investigated. The mechanism by which matrix alloying can improve the oxidation resistance of refractory metals was subsequently explored. Among them, a layer of oxide is formed after the oxidation of alloying elements to play a passivation role and improve the oxidation resistance of the matrix, but excessive addition leads to deterioration of the mechanical properties of the alloy, and further research is still needed on how to balance the mechanical properties and oxidation resistance under alloying conditions. Finally, the development direction and trend of oxidation protection of refractory metals in high-temperature environments are proposed.