Neural oscillations cross-frequency coupling (CFC) refers to the effect of the cross modulation between the electrophysiological oscillation rhythm in different ensembles of neurons. The CFC can reflect the mechanism of information transfer and exchange of local field potentials, electroencephalograph (EEG) and other neural electrophysiological activities at different spatial and temporal scales and plays an important role in the study of cognitive function. This paper introduces the basic phenomenon and classifications of neural oscillation CFC briefly, and reviews the typical applications in the study of the animal cognition model and human cognitive function in recent years, respectively. The main problems are also summarized and the future research is prospected in order to provide new ideas to promote the study and application of the CFC.