Warm dense matter (WDM) belongs to a part of high energy density physics, which includes both extensive and rich physics phenomena. It is an important state of the evolution and presence of matters in inertial confinement fusion (ICF), heavy-ion fusion, Z-pinch processes and so on. In particular, thermodynamic, optical, and radiated characteristic of warm dense matter plays an important role in determining for the macro fluid movement of matter and determining for the energy transportation and transfer in the interactions of radiated field with matter in the evolution process. Therefore, further investigation of the properties of warm dense matter and precision improvements on its related parameters, such as equations of state and radiation transportation, are of science significant and applied background in many research fields such as ICF, Z-pinch, earth’s and planetary interior structure. The important research progress in the techniques of production, diagnostics, and simulation of warm dense matter under the laboratory conditions are briefly introduced and reviewed. The topics on the techniques of creating WDM were discussed, including experimental capabilities and facilities enabling the synthesis and confinement of warm dense states. These experimental capabilities include energetic materials, short pulse and high-energy-density lasers, ion beams, static high-pressure diamond-anvil cells, radiation- synchrotron sources, and mechanical impact techniques such as gas-gun launchers. Advanced diagnostics required for the characterization and interrogation of warm dense states were employ in these experiments accordingly. A general review on the theoretical approaches and computational capabilities enabling the prediction of the thermodynamic properties of matter in the warm dense regime were given. These approaches include quantum-based finite-temperature methods based on density functional theory, finite-temperature average-atom method, molecular dynamics, and various plasma physics-based theoretical approaches. In our National Key Laboratory for Shock Wave and Detonation Physics (LSD), warm dense matter was created by multiple shock reverberation technique. The multi-shock compressed states were directly determined by the multi-wavelength channel optical transience radiance pyrometry (MCOP), Doppler pins system (DPS), streak optical pyrometer (SOP), and spectrum analyser. The gas sample is confined between a 304 steel baseplate at the impact end and a composite window at the other end. The strong plain shock wave was produced using the flyer plate impact accelerated up to about several km/s by a two-stage light gas gun on the target baseplate and introduced into the plenum gas sample, which was pre-compressed from environmental pressure to 20–40 MPa. The optical radiation histories recorded by two sets of MCOPs were used to determine shock velocity. Simultaneously, the particle velocity profiles of gas sample-window interface were measured with four DPSs and the time-resolved spectrum was determined by SOP. The states of multi-shock compression gas sample were determined from the measured shock velocities combining the particle velocity profiles. The multi-shock temperatures were obtained from the measured radiation histories and spectrum of warm dense matter. We performed the experiments on warm dense helium, deuterium, argon, and xenon to reach to above one hundred GPa. The experimental results are used to validate our developed self-consistent fluid variational theoretical model, to check the existing WDM theoretical model, and to create new theoretical ones. Finally, some suggestions, summary, and outlook in the future development tendency and direction of warm dense matter are presented.