Recent advances in the ultrafast transmission electron microscope (UTEM), with combined spatial and temporal resolutions, have made it possible to directly visualize the atomic, electronic, and magnetic structural dynamics of materials. In this review, we highlight the recent progress of UTEM techniques and their applications to a variety of material systems. It is emphasized that numerous significant ultrafast dynamic issues in material science can be solved by the integration of the pump-probe approach with the well-developed conventional transmission electron microscopy (TEM) techniques. For instance, UTEM diffraction experiments can be performed to investigate photoinduced atomic-scale dynamics, including the chemical reactions, non-equilibrium phase transition/melting, and lattice phonon coupling. UTEM imaging methods are invaluable for studying, in real space, the elementary processes of structural and morphological changes, as well as magnetic-domain evolution in the Lorentz TEM mode, at a high magnification. UTEM electron energy-loss spectroscopic techniques allow the examination of the ultrafast valence states and electronic structure dynamics, while photoinduced near-field electron microscopy extends the capability of the UTEM to the regime of electromagnetic-field imaging with a high real space resolution.