The cement sheath, serving as the primary element of well barriers, plays a crucial role in maintaining zonal isolation, protecting the casing from corrosion, and providing mechanical support. As the petroleum industry shifts from conventional to deep unconventional resources, the service environment for cement sheaths has become increasingly complex. High temperatures, high pressures, cyclic loading, and thermal stresses in downhole conditions have significantly increased the risk of cement sheath failure. A growing trend toward theoretical analysis of stress distribution, failure modes, and control mechanisms within the casing-cement sheath-formation system is evident. This paper comprehensively reviews theoretical research on cement sheath integrity from four key perspectives: (1) the concept of cement sheath integrity failure, (2) cement sheath constitutive models, (3) analytical models of the cement sheath-casing-formation system, and (4) numerical simulations of the cement sheath-casing-formation system. Through these discussions, this review provides profound insights into cement sheath integrity failure and offers valuable guidance for future research and practices.