Real‐time feedback‐driven single‐particle tracking (RT‐FD‐SPT) is a class of techniques in the field of single‐particle tracking that uses feedback control to keep a particle of interest in a detection volume. These methods provide high spatiotemporal resolution on particle dynamics and allow for concurrent spectroscopic measurements. This review article begins with a survey of existing techniques and of applications where RT‐FD‐SPT has played an important role. Each of the core components of RT‐FD‐SPT are systematically discussed in order to develop an understanding of the trade‐offs that must be made in algorithm design and to create a clear picture of the important differences, advantages, and drawbacks of existing approaches. These components are feedback tracking and control, ranging from simple proportional‐integral‐derivative control to advanced nonlinear techniques, estimation to determine particle location from the measured data, including both online and offline algorithms, and techniques for calibrating and characterizing different RT‐FD‐SPT methods. Then a collection of metrics for RT‐FD‐SPT is introduced to help guide experimentalists in selecting a method for their particular application and to help reveal where there are gaps in the techniques that represent opportunities for further development. Finally, this review is concluded with a discussion on future perspectives in the field.