In recent years, multi-wavelength fiber lasers play a significant role in plenty of fields, ranging from optical communications to mechanical processing and laser biomedicine, owing to their high beam quality, low cost, and excellent heat dissipation properties. Benefitting from increasing maturity of optical elements, the multi-wavelength fiber laser has made rapid developments. In this review, we summarize and analyze diverse implementation methods covering continuous wave and pulsed fiber lasers at room temperature conditions: inserting an optical filter device and intensity-dependent loss structure in the resonant cavity, and applying ultrafast nonlinear optical response of materials and a dual-cavity structure. Finally, future challenges and perspectives of the multi-wavelength fiber laser are discussed and addressed.