Privacy protection is an important and popular research topic for the smart grid. First of all, this article introduced the background of the smart grid and the existing security issues, and analyzed the importance of privacy protection. Then, this article introduced the current research directions and main technical means of privacy protection in the smart grid, including cryptography technology, blockchain and secure multi-party computing, etc. There were some new breakthroughs in the smart grid privacy protection by combining artificial intelligence technology, as well as aspected that need further research, provided a technical basis for further research. Finally, this article pointed out that in order to further improve the efficiency and light weight of privacy protection and sharing, we should combine several key technologies, such as cryptography, blockchain, artificial intelligence, privacy enhancement technology, and edge computing, etc. In order to solve these existing problems of privacy protection in the smart grid, including low sharing efficiency and high communication costs, this article pointed out some future research directions, hoping to promote the industry.