Stress hyperglycemia is very common among critically ill patients, and seriously affects its prognosis. Currently, it attracts increasing attention. Its mechanism has been elucidated. The treatment of stress hyperglycemia mainly depends on insulin therapy. It is reported that insulin therapy can reduce the mortality of critically ill patients and improve their prognosis. However, because insulin therapy has been applied for a relatively short duration in critically ill patients, the target glycemic control level is still controversial. At present, there is no unified standard yet for glycemic control level in the clinical practice. In this paper, we introduced briefly the epidemiological characteristics of stress hyperglycemia. Additionally, we also discussed its mechanism and clinical significance. We reviewed the progress of research on insulin therapy and analyzed the good and bad points of intensive insulin therapy. We also proposed the principles of insulin therapy and target level of glycemic control for different patients.