Underwater compressed air energy storage was developed from its terrestrial counterpart. It has also evolved to underwater compressed natural gas and hydrogen energy storage in recent years. UWCGES is a promising energy storage technology for the marine environment and subsequently of recent significant interest attention. However, it is still immature. In this study, the latest progress in both academic and industrial fields is summarized. Additionally, challenges facing this emerging technology are analyzed. The pros and cons of UWCGES are provided and are differentiated from the terrestrial variant. Technical, economic, environmental, and policy challenges are examined. In particular, the critical issues for developing artificial large and ultra-large underwater gas storage accumulators and effective underwater gas transportation are comprehensively analyzed. Finally, the demand for marine energy storage technology is briefly summarized, and the potential application scenarios and application modes of underwater compressed gas energy storage technology are prospected. This study aims to highlight the current state of the UWCGES sector and provide some guidance and reference for theoretical research and industrial development.