As an important communication window between the user and the system, the haptic interface not only meets the user′s need for a simple and natural human-machine interface (HMI), but is also a key factor in achieving tasks in a direct and efficient way. As the core of the haptic interactive process, the haptic feedback actuators are capable of simulating or reproducing diverse forms of haptic information to improve the immersion and realism of the user during the operation process. In recent years, soft haptic feedback actuators have gradually become a research hotspot for HMI due to their light-weight, flexible, and adaptable characteristics, offering extensive potential and value in various human-machine interaction scenarios. First, according to the different stimulation forms to the skin, soft haptic feedback actuators can be divided into three categories, electrical stimulation, mechanical stimulation, and thermal stimulation. Based on this, the recent progress of various soft haptic feedback actuators is introduced and summarized, including the actuation principle, design, and output of haptic feedback actuators. Further, the applications of haptic feedback devices developed based on soft haptic feedback actuators in the fields of virtual reality, teleoperation, and medical implications are also presented. Finally, the current problems and challenges of soft haptic feedback actuators are summarized, and the future development trend is discussed.