The pollutants in the exhaust gases of diesel engines lead to serious environmental pollution problems. The catalytic purification technology is one of the indispensable and most efficient technologies for the treatment of the exhaust gases from diesel engines. The study and development of efficient catalysts are the key in the catalytic purification technology. Taking the catalytic purification technology of NO, and diesel soot, which are the two most difficultly treated pollutants, as a main thread, we summarized the latest progresses in catalyst studies on catalytic reduction of NO, including selective catalytic reduction (SCR) and NOx storage-reduction (NSR), catalytic combustion of diesel soot, simultaneous removal of NO, and diesel soot, and four-way catalysts for the treatment of diesel engine exhaust gases. Moreover, the major problems and research directions in this area were proposed and discussed.