In this paper, we discuss some of the key challenges in the study of time-dependent processes and non-equilibrium behaviour in warm dense matter. We outline some of the basic physics concepts that have underpinned the definition of warm dense matter as a subject area in its own right and then cover, in a selective, non-comprehensive manner, some of the current challenges, pointing along the way to topics covered by the papers presented in this volume.This article is part of the theme issue ‘Dynamic and transient processes in warm dense matter’.