Materials having Vickers hardness (HV) higher than 40 GPa are considered to be superhard. Superhard material is exclusively covalent and displays superior hardness, incompressibility, and wear resistance, which make this kind of material essential for a wide range of industrial applications, such as turning, cutting, boring, drilling, and grinding. Most of superhard materials are prepared under extreme pressure and temperature conditions, not only for scientific investigations, but also for practical applications. With the development of high pressure science and technology, the field of superhard composites is more active and more efficient, energy saving and environmental protection. Ultrahigh pressure and ultrahigh temperature method plays an important role in the scientific research and industrial production of superhard materials. It provides the driving forces for the light elements forming novel superhard phases and the way of sintering high-density nanosuperhard materials. In this paper, the recent achievements and progress in high-pressure synthesis and research of superhard materials are introduced mainly in the nanopolycrystalline diamond, nanopolycrystalline cubic boron nitride (cBN), ultrahard nanotwinned cubic boron nitride, submicron polycrystalline cubic boron nitride, cBN-Si composites material, cubic-Si3N4-diamond nanocomposites and diamond-cubic boron nitride superhard alloy (composite) material prepared under ultrahigh pressure and high temperature, by using multi-anvil apparatus based on the hinged-type cubic press. These superhard composite materials are successfully synthesized by high temperature and high pressure, and a variety of performance tests show that their hardness values and thermal stability properties exceed those of the traditional superhard materials. At the same time, some new ideas, approaches to the study of superhard composite materials in recent years have been introduced, such as nanostructuring approaches and special treatments of the starting material for high-performance superhard materials, using the formation of alloys or solid solution to fill the performance gap between different materials for enhancing comprehensive performance (i.e., hardness, fracture toughness, and thermal stability), or changing and optimizing the assembly method to improve the uniformity of performance. Finally, the prospect of superhard composite material is also discussed. In the research field of superhard materials, on the one hand, the relationship between macrohardness and microstructure of superhard materials is studied continuously to establish hardness models with atomic parameters, which can be used to guide the design or prediction of novel superhard crystals. On the other hand, highly comprehensive performance and larger size of super-hard composite materials are synthesized for practical application.