A capillary X-ray lens works in a manner of total reflection of X-ray, which can be designed into different shapes to obtain various beams, such as quasi-parallel beams, micro focal spots, and ring beams, with a high gain in power density to meet different needs. Capillary X-ray lenses can regulate the X-ray of various X-ray sources, such as X-ray sources in the conventional laboratory, synchrotron radiation sources, laser-plasma X-ray sources, X-ray free-electron laser facilities, and X-ray sources in the galaxy. Additionally, capillary X-ray lenses can easily and economically facilitate the development of X-ray technology, and therefore, they play an important role in the development of X-ray science and technology with its wide applications. In this paper, the design, fabrication, and applications of capillary X-ray lenses are reviewed, and the further development of capillary X-ray lens technology in the future is discussed.