Protein-DNA interactions play essential roles in various biological events that determine the cell fate. Research on the molecular mechanism of protein-DNA interactions has helped elucidate diverse fundamental life processes, thereby providing theoretical guidance for establishing clinical treatment and screening potential drug of target diseases. Furthermore, well-known protein-DNA interactions have been utilized to develop advanced bioengineering and bioanalytical techniques, therefore providing robust technical support for related research. Hence, it is important to establish sensitive and rapid analytical methods to study protein-DNA interactions. High-performance capillary electrophoresis (CE) has been widely used in many research fields such as chemistry, life sciences, and environmental sciences, mainly due to its advantages including ultra-high separation efficiency, extremely low sample consumption, and short analysis time. For instance, affinity capillary electrophoresis (ACE) has become an important analytical tool for investigating molecular interactions. In this paper, we review the applications of ACE in studying protein-DNA interactions since it was first proposed in 1992, addressing previous significant work in this field. Three major aspects have been summarized in this review: (1) brief introduction to the development of ACE technique; (2) applications of ACE in the fundamental research on the molecular mechanism of protein-DNA interactions; and (3) applications of well-known protein-DNA interactions in CE-based detection of target molecules and reactions. In the first aspect, along with the concept and separation modes of ACE, general strategies to enhance the analytical ability of ACE are briefly introduced. In the second aspect, the applications of ACE in studying several important protein-DNA interactions involving transcription factors (e.g., GCN4), DNA repair proteins (e.g., UvrA, UvrB, and RecA), and methylated DNA-binding proteins (MBDs) are reviewed. In the third aspect, the applications of well-known molecular interactions (e.g., antigen-antibody, aptamer-target, etc.) to facilitate CE-based detection of target molecules (e.g., DNA adducts, DNA methylation, microRNA, single nucleotide polymorphism, etc.) and target reactions (e.g., DNA strand exchange) are addressed. Finally, we prospect and discuss the advancements of ACE that can be established in future studies. The following two aspects should be improved in future ACE analysis: (1) the advantages of extremely low volume consumption and short analysis time should be fully utilized to develop sensitive and high-throughput CE platforms for the assessment of rare biological samples and massive uncertain samples, respectively; (2) ACE should be combined with other advanced techniques, such as DNA sequencing and mass spectrometry, to rapidly screen and identify the precise interacting sites of unknown protein-DNA interactions.