Hydrocolloids, as quintessential quality improvers in food, exhibit irreplaceable functional characteristics, especially in yogurt production. Various types of hydrocolloids demonstrate distinct physicochemical and functional properties, thereby bestowing diverse product qualities onto yogurt. Nonetheless, the application of hydrocolloids in yogurt currently faces numerous unresolved challenges, particularly in the mechanisms underlying processing properties and nutritional benefits, which remain inadequately explored. This paper first categorizes the common hydrocolloids in food, summarizing the physicochemical and functional properties, applications, and limitations of each type. It then elucidates their application and challenges in yogurt. Finally, based on the current challenges, this review identifies potential directions for future research, including in-depth studies of their physicochemical properties and compounding strategies. The review also suggests investigating specific mechanisms in gut health and nutrient absorption, as well as their synergistic effects with microbial fermentation in terms of prebiotic properties. Furthermore, the development of novel yogurt gel delivery systems and the application of emerging technologies such as 3D printing and nanotechnology are discussed as future directions. The aim is to foster the advancement of understanding yogurt's microstructures and contribute to a specific and science-driven efficient utilization of hydrocolloids in food.