The structural, thermodynamic and transport properties of warm dense matter (WDM) are crucial to the fields of astrophysics and planet science, as well as inertial confinement fusion. WDM refers to the states of matter in a regime of temperature and density between cold condensed matter and hot ideal plasmas, where the density is from near-solid up to ten times solid density, and the temperature between 0.1 and 100 eV. In the WDM regime, matter exhibits moderately or strongly coupled, partially degenerate properties. Therefore, the methods used to deal with condensed matter and isolated atoms need to be properly validated for WDM. It is therefore a big challenge to understand WDM within a unified theoretical description with reliable accuracy. Here, we review the progress in the theoretical study of WDM with state-of-the-art simulations, i.e. quantum Langevin molecular dynamics and first principles path integral molecular dynamics. The related applications for WDM are also included.