The effects of strain and oxygen vacancies on perovskite thin films have been studied in great detail over the past decades and have been treated separately from each other. While epitaxial strain has been realized as a tuning knob to tailor the functional properties of correlated oxides, oxygen vacancies are usually regarded as undesirable and detrimental. In transition metal oxides, oxygen defects strongly modify the properties and functionalities via changes in oxidation states of the transition metals. However, such coupling is not well understood in epitaxial films, but rather deemed as cumbersome or experimental artifact. Only recently it has been recognized that lattice strain and oxygen non-stoichiometry are strongly correlated in a vast number of perovskite systems and that this coupling can be beneficial for information and energy technologies. Recent experimental and theoretical studies have focused on understanding the correlated phenomena between strain and oxygen vacancies for a wide range of perovskite systems. These correlations not only include the direct relationship between elastic strain and the formation energy of oxygen vacancies, but also comprise highly complex interactions such as strain-induced phase transitions due to oxygen vacancy ordering. Therefore, we aim in this review to give a comprehensive overview on the coupling between strain and oxygen vacancies in perovskite oxides and point out the potential applications of the emergent functionalities strongly coupled to oxygen vacancies.