Abstract: Water-jet guided laser machining has emerged as an effective technique for fabricating film cooling holes in superalloys, leveraging its advantages of long processing distance, high precision, and small heat-affected zone. However, the current water-jet guided laser technology faces a dual contradiction of limited maximum power output and low energy conversion efficiency during the processing of superalloys, which severely restricts the development of this technology. The research progress in the field of water-jet guided laser machining of superalloys is systematically reviewed, and the efficient energy conversion mechanisms of laser energy during coupling, transmission, and processing, as well as the reasonable optimization of process parameters, are deeply analyzed and reviewed. The results indicate that in the coupling stage, light source selection, beam shaping, and alignment accuracy have a significant impact on cross-medium energy transfer efficiency. In the transmission stage, the laser undergoes energy loss caused by absorption, scattering, and thermal effects in the water jet, and gas assistance and parameter regulation can improve jet stability. Regarding the processing mechanism, the water-jet guided laser forms a unique “alternating cold and hot” removal mode primarily driven by plasma explosion impact and supplemented by water jet cooling and debris removal, which significantly affects recast layer thickness, surface morphology, and mechanical properties under the synergistic mechanism. In terms of process optimization, the synergistic regulation of parameters such as single pulse energy, pulse frequency, and scanning path plays a key role in machining quality, and methods such as multi-step scanning and sacrificial layer assistance achieve good results in improving precision. Existing studies have made phased progress in individual stages, and future research should focus on solving core challenges such as cross-medium energy transfer optimization, transmission loss suppression, and energy adaptation for processing complex shaped components. This paper provides a theoretical basis for breaking through the bottleneck of high-quality and high-efficiency water-jet guided laser machining technology for superalloys.