Cement-based materials, including cement and concrete, are the most widely used construction materials in the world. In recent years, the investigation and application of fractal theory in cement-based materials have attracted a large amount of attention worldwide. The microstructures of cement-based materials, such as the pore structures, the mesostructures, such as air voids, and the morphological features of powders, as well as the fracture surfaces and cracks, commonly present extremely complex and irregular characteristics that are difficult to describe in terms of geometry but that can be studied by fractal theory. This paper summarizes the latest progress in the investigation and application of fractal theory in cement-based materials. Firstly, this paper summarizes the principles and classification of the seven fractal dimensions commonly used in cement-based materials. These fractal dimensions have different physical meanings since they are obtained from various testing techniques and fractal models. Then, the testing techniques and fractal models for testing and calculating these fractal dimensions are introduced and analyzed individually, such as the mercury intrusion porosimeter (MIP), nitrogen adsorption/desorption (NAD), and Zhang’s model, Neimark’s model, etc. Finally, the applications of these fractal dimensions in investigating the macroproperties of cement-based materials are summarized and discussed. These properties mainly include the mechanical properties, volumetric stability, durability (e.g., permeability, frost and corrosion resistance), fracture mechanics, as well as the evaluation of the pozzolanic reactivity of the mineral materials and the dispersion state of the powders.