Stay cables of long-span cable-stayed bridges are susceptible to rain-wind induced vibration during windy and rainy conditions due to their low mass, high flexibility, and low damping. Such vibration may result in fatigue failure of the cable end anchorage devices, reducing the bridge’s durability and safety. To mitigate the damage caused by rain-wind induced vibration to bridge structures, it is essential to understand the vibration mechanism and vibration reduction measures of rain-wind induced vibration of stay cables. This paper reports a state-of-the-art review on rain-wind induced vibration of stay cables and summarizes the effects of wind speed and rainfall on rain-wind induced vibration. The possible mechanisms of rain-wind induced vibration is introduced. The application of existing vibration reduction measures is also discussed, including auxiliary cable vibration reduction, damper vibration reduction, and aerodynamic vibration reduction. The research results can offer valuable reference and guidance for the selection of vibration reduction measures for rain-wind induced vibration of stay cables.