Shear thickening fluid (STF) is a dense colloidal suspension of nanoparticles in a carrier fluid in which the viscosity increases dramatically with a rise in shear rate. Due to the excellent energy absorption and energy dissipation of STF, there is a desire to employ STFs in a variety of impact applications. In this study, a comprehensive review on STFs’ applications is presented. First, several common shear thickening mechanisms are discussed in this paper. The applications of different STF impregnated fabric composites and the STF’s contributions on improving the impact, ballistic and stab resistance performance have also been presented. Moreover, recent developments of STF’s applications, including dampers and shock absorbers, are included in this review. In addition, some novel applications (acoustic structure, STF-TENG and electrospun nonwoven mats) based on STF are summarized, to suggest the challenges of future research and propose some more deterministic research directions, e.g., potential trends for applications of STF.