Lithium oxygen battery has the highest theoretical capacity among the rechargeable batteries and it can reform energy storage technology if it comes to commercialization. However, many critical challenges, mainly embody as low charge/discharge round-trip efficiency and poor cycling stability, impede the development of Li-O2 batteries. The electrolyte decomposition, lithium metal anode corrosion and sluggish oxygen reaction kinetics at cathode are all responsible for poor electrochemical performances. Particularly, the catalytic cathode of Li-O2 batteries, playing a crucial role to reduce the oxygen during discharging and to decompose discharge products during charging, is regarded as a breakthrough point that has been comprehensive investigated. In this review, the progress and issues of electrolyte, anode and cathode, especially the catalysts used at cathode, are systematically summarized and discussed. Then the perspectives toward the developments of a long life Li-O2 battery are also presented at last.