Precipitation hardening stainless steels have attracted extensive interest due to their distinguished mechanical properties. However, it is necessary to further uncover the internal quantitative relationship from the traditional standpoint based on the statistical perspective. In this review, we summarize the latest research progress on the relationships among the composition, microstructure, and properties of precipitation hardened stainless steels. First, the influence of general chemical composition and its fluctuation on the microstructure and properties of PHSS are elaborated. Then, the microstructure and properties under a typical heat treatment regime are discussed, including the precipitation of B2-NiAl particles, Cu-rich clusters, Ni3Ti precipitates, and other co-existing precipitates in PHSS and the hierarchical microstructural features are presented. Next, the microstructure and properties after the selective laser melting fabricating process which act as an emerging technology compared to conventional manufacturing techniques are also enlightened. Thereafter, the development of multi-scale simulation and machine learning (ML) in material design is illustrated with typical examples and the great concerns in PHSS research are presented, with a focus on the precipitation techniques, effect of composition, and microstructure. Finally, promising directions for future precipitation hardening stainless steel development combined with multi-scale simulation and ML methods are prospected, offering extensive insight into the innovation of novel precipitation hardening stainless steels.