It is important for the long campaign and reliable function of high-temperature industrial furnaces to evaluate and characterize the mechanical behavior of refractory materials. In recent years, the mechanical behavior of refractory materials is measured by various mechanical test methods, such as Wedge Splitting Test, Brazilian Test and high-temperature/high-pressure creep test. Besides, the fracture behavior of refractory materials is also determined with in-situ nondestructive characterization methods, including the digital image correlation and acoustic emission. The present paper gave a review on the state of art of testing and characterization methods, which provides the guidance for the further study of mechanical properties of refractories.