In the past decades, laboratory experiments have contributed significantly to the exploration of the fundamental physics of space plasmas. Since 1908, when Birkeland invented the first terrella device, numerous experimental apparatuses have been designed and constructed for space physics investigations, and beneficial achievements have been gained using these laboratory plasma devices. In the present work, we review the initiation, development, and current status of laboratory plasma devices for space physics investigations. The notable experimental apparatuses are categorized and discussed according to the central scientific research topics they are related to, such as space plasma waves and instabilities, magnetic field generation and reconnection, and modeling of the Earth's and planetary space environments. The characteristics of each device, including the plasma configuration, plasma generation, and control method, are highlighted and described in detail. In addition, their contributions to reveal the underlying physics of space observations are also briefly discussed. For the scope of future research, various challenges are discussed, and suggestions are provided for the construction of new and enhanced devices. The objective of this work is to allow space physicists and planetary scientists to enhance their knowledge of the experimental apparatuses and the corresponding experimental techniques, thereby facilitating the combination of spacecraft observation, numerical simulation, and laboratory experiments and consequently promoting the development of space physics.