Heavy-duty legged robots have played an important role in material transportation, planet exploration, and other fields due to their unique advantages in complex and harsh terrain environments. The instability phenomenon of the heavy-duty legged robots often arises during the dynamic interactions between the supporting feet and the intricate terrains, which significantly impact the ability of the heavy-duty legged robots to move rapidly and accomplish tasks. Therefore, it is necessary to assess the mechanical behavior of foot–terrain interactions for the heavy-duty legged robots. In order to achieve the above goal, a systematic literature review methodology is employed to examine recent technical scientific publications, aiming to identify both current and prospective research fields. The characteristics of supporting feet for different heavy-duty legged robots are compared and analyzed. The foot–terrain mechanical models of the heavy-duty legged robots are discussed. The problems that need further research are summarized and presented, which is conducive to further deepening and expanding the research on the mechanical behavior of foot–terrain interactions for heavy-duty legged robots.