Oblique detonation waves (ODWs) are hypersonic combustion phenomena induced by oblique shock waves. When applied to air-breathing engines, ODWs offer high thermal cycle efficiency, adaptability to a wide range of flight Mach numbers, and the advantage of a short combustion chamber, making them highly promising for hypersonic propulsion applications. Despite numerous numerical studies on the heat release and multi-wave flow mechanisms of ODWs, practical applications of oblique detonation engines (ODEs) remain limited due to several technical challenges. These challenges include generating the required high-velocity test environments, achieving effective fuel and oxidant mixing, and measuring the flow field structure in hyper-velocity and high-temperature flows. These limitations hinder the development of ODEs, underscoring the importance of experimental research, particularly for understanding the initiation and propagation mechanisms of ODWs. One of the primary experimental techniques involves inducing oblique detonation using high-velocity models. This method is extensively used to study the initiation process, shock structure, initiation criteria, and ODW propagation. It is advantageous because the state of the experimental mixture is controllable, and the model state can be precisely measured. This paper reviews studies on oblique detonation induced by hyper-velocity projectiles, presenting advances in experimental methods, detonation wave structures, unsteady processes, and initiation characteristics. Additionally, we discuss the deficiencies in existing studies, noting that the current measurement methods fall short of the requirements for observing the ODW initiation process, propagation process, and fine structure. The application of advanced combustion diagnostic techniques and the exploration of the relationship between initiation processes and criteria are crucial for advancing our understanding of ODW initiation and stabilization mechanisms. Finally, we summarize the current state of experimental facilities and measurement techniques, providing suggestions for future research on the measurement of shock waves and chemical reaction zones.