The two-dimensional (2D) magnet, a long-standing missing member in the family of 2D functional materials, is promising for next-generation information technology. The recent experimental discovery of 2D magnetic ordering in CrI3, Cr2Ge2Te6, VSe2, and Fe3GeTe2 has stimulated intense research activities to expand the scope of 2D magnets. This review covers the essential progress on 2D magnets, with an emphasis on the current understanding of the magnetic exchange interaction, the databases of 2D magnets, and the modification strategies for modulation of magnetism. We will address a large number of 2D intrinsic magnetic materials, including binary transition metal halogenides; chalogenides; carbides; nitrides; oxides; borides; silicides; MXene; ternary transition metal compounds CrXTe3, MPX3, Fe-Ge-Te, MBi2Te4, and MXY (M = transition metal; X = O, S, Se, Te, N; Y = Cl, Br, I); f-state magnets; p-state magnets; and organic magnets. Their electronic structure, magnetic moment, Curie temperature, and magnetic anisotropy energy will be presented. According to the specific 2D magnets, the underlying direct, superexchange, double exchange, super-superexchange, extended superexchange, and multi-intermediate double exchange interactions will be described. In addition, we will also highlight the effective strategies to manipulate the interatomic exchange mechanism to improve the Curie temperature of 2D magnets, such as chemical functionalization, isoelectronic substitution, alloying, strain engineering, defect engineering, applying electronic/magnetic field, interlayer coupling, carrier doping, optical controlling, and intercalation. We hope this review will contribute to understanding the magnetic exchange interaction of existing 2D magnets, developing unprecedented 2D magnets with desired properties, and offering new perspectives in this rapidly expanding field.