Second phase strengthening plays an important role in the strengthening and toughening of steels, which could improve simultaneously strength, toughness as well as other in-use properties. Recently, with the increasing demands for higher strength steels, second phase strengthening has been utilized in many newly-developed steels to improve strength and toughness. Despite the promising properties, second phase strengthening should overcome many difficulties in those advanced steels before practical application. Among these challenges are nanoscale characterization and control, interaction between multiphase structure and second phase particles, and optimization of in-use properties. This review focuses on the second phase strengthening and their influences on the strength, toughness, weldability, formability, delayed fracture resistance, creep strength and irradiation resistance of advanced steels. In particular, automotive steels for weight lightening, ultra-high strength maraging steels, fission and fusion reactor steels and high modulus steels are discussed here. Based on the special microstructures, manufacture techniques and applications of the different advanced steels, the strengthening and toughening mechanisms are analyzed, and the research gaps are proposed. The aim of this review is to provide a reference for further research and development of advanced steels with second phase strengthening.