Aptamers are promising therapeutic and diagnostic agents for various diseases due to their high affinity and specificity against target proteins. Structural determination in combination with multiple biochemical and biophysical methods could help to explore the interacting mechanism between aptamers and their targets. Regrettably, structural studies for aptamer–target interactions are still the bottleneck in this field, which are facing various difficulties. In this review, we first reviewed the methods for resolving structures of aptamer–protein complexes and for analyzing the interactions between aptamers and target proteins. We summarized the general features of the interacting nucleotides and residues involved in the interactions between aptamers and proteins. Challenges and perspectives in current methodologies were discussed. Approaches for determining the binding affinity between aptamers and target proteins as well as modification strategies for stabilizing the binding affinity of aptamers to target proteins were also reviewed. The review could help to understand how aptamers interact with their targets and how alterations such as chemical modifications in the structures affect the affinity and function of aptamers, which could facilitate the optimization and translation of aptamers-based theranostics.