Pulsed power technology, whereas the electrical energy stored in a relative long period is released in much shorter timescale, is an efficient method to create high energy density physics (HEDP) conditions in laboratory. Around the beginning of this century, China Academy of Engineering Physics (CAEP) began to build some experimental facilities for HEDP investigations, among which the Primary Test Stand (PTS), a multi-module pulsed power facility with a nominal current of 10 MA and a current rising time ~90 ns, is an important achievement on the roadmap of the electro-magnetically driven inertial confinement fusion (ICF) researches. PTS is the first pulsed power facility beyond 10 TW in China. Therefore, all the technologies have to be demonstrated, and all the engineering issues have to be overcome. In this article, the research outline, key technologies and the preliminary HEDP experiments are reviewed. Prospects on HEDP research on PTS and pulsed power development for the next step are also discussed.