The bioactive constituents responsible for the therapeutic effects of traditional Chinese medicines (TCMs) are called effective components. Elucidating the effective components is a crucial part of TCM modernization research. Because of the “multicomponent and multitarget” features of TCMs, it is challenging to reveal their effective components, particularly to analyze the chemical constituents and in vivo metabolites globally and to discover the bioactive compounds efficiently. In recent decades, Chinese scientists have innovatively explored and established a series of new research strategies and methodologies for TCM effective components. State-of-the-art techniques in analytical chemistry, cell and molecular biology, and computer science have been employed. In this review article, we summarized these methodologies and recent research progress. The review includes three parts: new methodologies for chemical analysis, in vivo metabolites analysis, and effective components discovery. Future research perspectives are also discussed.