The microstructure evolves during the service of bearings, and feature microstructures appear after a certain period of time. The microstructural evolution has a great impact on the service life of bearings, resulting in a significant deviation from the calculated life. This paper summarised the research progress of the microstructural evolution. Four feature microstructures including Butterfly, White Etching Cracks, Dark Etching Region, and White Etching Bands were reviewed about the phase composition, mechanical properties, and mechanisms. Several proposed mechanisms were analysed and discussed on the rationality and insufficiency, and the latest theories have been emphasised. Previous microstructural alterations were also included. At last, the relationship between feature microstructures and fatigue failure was analysed through previous studies.