Bolted joints, with their advantages of simple structure and convenient disassembly and assembly, are widely used in complex equipment fields such as aerospace systems and weaponry. Subject to complex mechanical loads, the contact surfaces may undergo nonlinear behaviors such as contact–separation and viscous slip, leading to the nonlinear degradation of the connection stiffness, which severely threatens the safety and reliability. These have driven research on bolted joints to span multiple disciplines, from interfacial micro-friction to macro-structural dynamics. Therefore, from the field of micro-friction to macro-dynamics, this review summarizes and analyzes three major degradation models, outlines the experimental development in connected structures, and provides an overview of the numerical analysis methods for degradation simulation. This paper also looks forward to the development directions for future research on the degradation of connected structures.