The active magnetic compensation coil is of great significance for extensive applications, such as fundamental physics, aerospace engineering, national defense industry, and biological science. The magnetic shielding demand is increasing over past few decades, and better performances of the coil are required. To maintain normal operating conditions for some sensors, active magnetic compensation coils are often used to implement near-zero field environments. Many coil design methods have been developed to design the active compensation coil for different fields. It is opportune to review the development and challenges associated with active magnetic compensation coils. Active magnetic compensation coils are reviewed in this paper in terms of design methods, technology, and applications. Furthermore, the operational principle and typical structures of the coil are elucidated. The developments of the forward design method, inverse design method, and optimization algorithm are presented. Principles of various design methods and their respective advantages and disadvantages are described in detail. Finally, critical challenges in the active magnetic compensation coil techniques and potential research directions have been highlighted.