<p>Abrasive jet machining (AJM) is a manufacturing technology based on the solid particle erosion–wear. It has attracted widespread attention owing to its distinct advantages, such as negligible thermal effect, high operating flexibility, and strong machining versatility. Over the past 40&#xa0;years, AJM has been widely used in many fields, such as surface treatment, mechanical manufacturing, and civil engineering. From the perspective of the nature or origin of abrasive jet, traditional AJMs can be subdivided into (abrasive) water jet, abrasive slurry jet, and abrasive air jet. This paper summarized the backgrounds, principles, and uniqueness of each jet method. Additionally, some new recently developed technologies, such as air–water based wet abrasive jet (viz. multiphase jet) and high-pressure abrasive slurry jet, were reviewed. Further, to enhance the understanding of these technologies and their applications, a deep analysis and comparison were conducted from the following aspects: particle velocity, jet beam diameter, surface waviness, attainable roughness, machining profile, erosion rate–impact angle curve, erosion temperature, material removal rate, and material removal mechanism. Lastly, various strategies for improving jet beam and footprint profile were summarized. This review is expected to aid the understanding of the subtle differences between the well-known abrasive jets and provide guidance and offer basis of technical selection for the manufacturing community and future researchers.</p>