During Nanzhao Kingdom period, esoteric Buddhism was introduced into Dali area of Yunnan. Struggling with and adapting to the local indigenous religious, absorbing different cultural nutrients from Confucianism, Taoism, Tibetan Buddhism, and Chinese Buddhism etc., Azhali Religion was formed. Nowadays, being a unique esoteric sect, Azhali Religion has a history of over 1000 years. It had a greater impact on the provincial politics, economy, culture and other aspects. Since 20th century, domestic and foreign scholars were widely attracted by Azhali Religion, and many research results appeared. The paper gives an overview of the research progress of Azhali Religion.