As giant magnetostrictive materials with low magnetocrystalline anisotropy, Tb-Dy-Fe alloys are widely used in transducers, actuators and sensors due to the effective conversion between magnetic energy and mechanical energy (or acoustic energy). However, the intrinsic brittleness of intermetallic compounds leads to their poor machinability and makes them prone to fracture, which limits their practical applications. Recently, the addition of a fourth element to Tb-Dy-Fe alloys, such as Ho, Pr, Co, Nb, Cu and Ti, has been studied to improve their magnetostrictive and mechanical properties. This review starts with a brief introduction to the characteristics of Tb-Dy-Fe alloys and then focuses on the research progress in recent years. First, studies on the crystal growth mechanism in directional solidification, process improvement by introducing a strong magnetic field and the effects of substitute elements are described. Then, meaningful progress in mechanical properties, composite materials, the structural origin of magnetostriction based on ferromagnetic MPB theory and sensor applications are summarized. Furthermore, sintered composite materials based on the reconstruction of the grain boundary phase also provide new ideas for the development of magnetostrictive materials with excellent comprehensive properties, including high magnetostriction, high mechanical properties, high corrosion resistance and high resistivity. Finally, future prospects are presented. This review will be helpful for the design of novel magnetostrictive Tb-Dy-Fe alloys, the improvement of magnetostrictive and mechanical properties and the understanding of magnetostriction mechanisms.