Radical cyclization is regarded as a powerful and promising strategy for the assembly of diverse important cyclic structures because of its high atom- and step-economy. As excellent radical acceptors, alkenes offer two potential directions, pushing the research domain of radical cyclization. In this context, as a radical precursor, sulfonyl hydrazide plays an important role in accomplishing radical cyclization of alkenes in a facile and efficient way. This review focuses on the applications of sulfonyl hydrazides in radical cyclization of alkenes, which generally has two radical conversion modes, sulfonyl radicals and sulfoxide radicals. In particular, the section of sulfonyl radicals consists of eight parts containing aromatic rings, alkenes, alkynes, cyanides, aldehydes, carboxylic acids, amides, and small ring compounds, according to the objects of cyclization after addition with alkenes. Within each category, representative instances are presented and discussed in terms of their general mechanistic perspectives when needed.