Urban green infrastructure (UGI), a multi-scale, multi-type, and multi-function network composed of green elements, plays a pivotal role in alleviating the increase in urban temperature and promoting the urban resilience. Nevertheless, systematic discussions about the methodology, mechanisms, scale effect, and influencing factors of cooling effects of the UGI are rare in the literature. Thus, we reviewed the progress on the cooling effects of UGI in terms of research methods, physical mechanisms, and impact factors. Moreover, we discussed the limitations, challenges, and future works in the field. We found that (1) the current studies could be classified into six scales, i.e., site, building, street, greenspace, landscape, and city scale, in terms of the spatial scope of cooling effect. Among them, micro- and local- scales such as site, greenspace, and street have received more concerns, while relatively few studies were conducted at the city scale. (2) The research methods could be grouped into three parts, i.e., data acquisition, measurements of cooling effects, and analysis of impacting factors. Data acquisition mainly relied on three methods:on-site observation, remote sensing, and simulation. Measurements of cooling effects could be classified in terms of the choice of reference, i.e., spatially-based reference, temporally- or scenario-based reference, and statistical relationship. The last part mainly used the traditional statistical method, such as multiple regression and correlation analysis, while the machine learning methods with the potential to explore the non-linear influences have been gradually applied. (3) The cooling effects of UGI rely mainly on three physical mechanisms:shading, evapotranspiration, and advection of cool air mass. The influential factors could be classified into the plant species composition and morphology, spatial configuration, and external environment factors, e.g., the urban geometry and meteorological parameters. Moreover, the main impacting factors vary with the research scales, and with the increase in the scale, the spatial configuration of UGI becomes more important. Finally, we discussed the current gaps and challenges on the spatial-temporal scales, physical mechanisms, comprehensive impact factors, and perspective of ecosystem service. Besides, we emphasized the prospects of the new data acquisition methods, the combination of multiple cooling measures, and the cooling effects of UGI at the city scale as the future research directions.