On the basis of analyzing the background of multifractal theory, the definition, characteristics and sources of multifractality, the multifractal process and multifractal spectrum estimation are briefly introduced. From three different perspectives, including the multifractal structure of capital markets, multifractal characteristics and the application of multifractality in capital markets, the recent development of multifractality in capital markets is analyzed. In this paper, the difficulties and disadvantages faced by us are pointed out and the direction of development is put forward.